Lambert, who is in line to make his top-flight debut against champions Manchester City today, thinks that the match provides the perfect proving ground for the Saints at this level.
He told The Sun: "If you're going to wish for a big game, this is the one, the champions away.
"Vincent Kompany is the best defender in the world so I can't wait to test myself against him.
"It has been a long road. I'd be lying if I said I was thinking then that I'd play in the Premier League. The love of the game kept me going. I just didn't want to give it up."
The 30-year-old scored 27 goals in the Championship last season to fire the Saints into the Premier League.