The England international shared the Blues' goals with former Wanderer's loanee Daniel Sturridge, who started for Chelsea due to Fernando Torres' suspension.
It was Sturridge who opened the scoring with just 92 seconds played, heading in unmarked from Juan Mata's corner.
Lampard's first of the afternoon came with 15 minutes on the clock. The 33-year-old collected a square pass from Sturridge before guiding the ball beyond Adam Bogdan in goal.
The Wanderers keeper would then be at fault for Chelsea's next two goals before the break, with both Sturridge and Lampard profiting to claim their second goals of the game.
However, the four-goal winning margin was restored just before the hour mark when Lampard exchanged passes with Didier Drogba inside the area, before slotting into the bottom right hand corner of the net.