The West Midlands outfit went into the game having suffered back-to-back defeats against Bristol City and Brighton & Hove Albion, but a Nouha Dicko goal proved to be the difference as they secured their Championship status for another season.
Leeds possess one of the best home records in the second tier, but Lambert was impressed with how his team performed at Elland Road on Easter Monday.
The 47-year-old is quoted by the Express & Star as saying: "It's huge for us. I thought we started the game really well, it set the whole tone of the game. We were brilliant, we should have been 3-0 up at half time. We took the sting out of the crowd and played really well and looked a threat.
"Second half, you expect them to come with long balls and second balls, but overall the performance was outstanding. It's a big win to come here."
Lambert has now won 13 of his 29 matches in charge of Wolves since being appointed as the club's new head coach in November.