Having spent most of his career in the lower leagues Lambert, 30, is living the dream.
He said: "How do I feel at the moment? Amazing. Just amazing. I'm pinching myself. It's something I've dreamed of all my life so to finally be here means a lot.
"Hopefully I'll be scoring more to help the team win more games and this is not a flash in the pan."
His double took his top-flight tally to four and put him high up the scoring charts.
Lambert, golden boot winner in three of his last four seasons, said: "I'm very proud to be up there but it's only five games in.
"If you're saying I'm up with Robin van Persie at the end of the season I'll be happy. As a striker you want to be a contender for the golden boot.
"Winning it is a massive achievement and I'll give it a go."