Saints picked up just their fourth Barclays Premier League point of the campaign away from home at Fulham.
Having impressively dispatched QPR in November, Nigel Adkins' side returned to west London to eke out a 1-1 draw.
After Dimitar Berbatov opened the scoring in the eighth minute, Saints plugged away and Lambert's spot-kick five minutes from time earned a point.
"We need to be solid (away from home)," the Saints striker said.
"We have been solid in the last few weeks. We are disappointed with their goal, but I think after that they didn't create any chances.
"We are defending well at the minute. We've got to keep that up and obviously carry on scoring goals.
"We're disappointed with our performance, but I think we deserved the point.
"I think we were getting better as the game went on and we looked like we were going to score whether that penalty came or not.
"It's a good point. Away to Fulham is a good point any day of the year, so we're happy with that and we're going into Stoke away now which is going to be another hard game."