Lambert has acknowledged that the Championship outfit are keen on buying the Portuguese attacker, but only if it is "feasible" for the club.
The Scot is quoted by the Express & Star as saying: "I think the club are trying. If the club can do something and it's feasible, yes.
"It's still early, but if you ask me as a footballer, Helder Costa is a huge talent, he's got incredible quick feet and nine goals from wide areas is incredible. I don't know the sums or what the figure is. It's been brought to my attention last night."
If Wolves push through a deal for the 23-year-old, it will break the transfer record set when they signed Ivan Cavaleiro from AS Monaco during the summer.