Lambert says Saints' 4-0 loss to Udinese will prove to be an educational process ahead of the Barclays Premier League season.
"I think you learn more from having a game like that than if we'd have won 4-0," the striker told Saints Player.
"That would have obviously been good for confidence going into the season, but it's good to get something like that out the way now rather than next week.
"We're definitely going to learn, and we'll be watching how the game went.
"The result was disappointing but, I must say, there were some great finishes by their players.
"We were doing OK until they put two in the top corner! You can't do much about that."