Few could have imagined how wise the £1million outlay would be when Saints, then in League One, bought the Liverpudlian from Bristol Rovers in August 2009.
Lambert has grown to become a England international and Premier League regular, with the fans' favourite scoring his 100th league goal for Saints in Saturday's 3-0 win against Fulham.
There were suggestions the 31-year-old would not make that milestone as talk of a move to West Ham rumbled on, but there is nowhere the forward would rather be.
"It is special to reach 100 league goals," Lambert said. "I am very, very proud.
"I am glad I have scored it so I can try and score my 101st now. It means a hell of a lot to me.
"It has been the best four-and-a-half years of my life. I have given everything and I will carry on giving everything I can while I am here. I have absolutely loved it."
It was quite the return from injury for Lambert, who not only netted for Saints but set up the other goals scored by Adam Lallana and Jay Rodriguez at Craven Cottage.
Only Wayne Rooney and Mesut Ozil have provided more assists than Lambert this season, which comes thanks in no small part to the intuitive link between himself and his fellow England internationals.
"Obviously we have got a connection," Lambert said of Lallana and Rodriguez. "We've been playing together for a while now.
"It is a pleasure playing with them two. They are on form, they've been on form all season.
"It makes my job a lot easier when I am passing to them two. It is good to play with them."
The goals at Fulham mean the trio have scored 24 between them this term - the same figure they managed in the whole of last season.
Such attacking prowess coupled with impressive team effort makes Lambert confident of ninth-placed Saints kicking on and climbing up the Premier League standings.
"I was saying to the lads that we've played well now for four games and we've won two and drawn two," Lambert said, speaking to BBC Radio Solent.
"I think we were unlucky not to win all of them, to be honest. That is not being over the top.
"I think that was coming, it has been coming for a while and now we have got exactly what we deserved against Fulham.
"We're confident in ourselves and we always knew that with the run of games we had would make things difficult.
"We got over those run of games with a respectable amount of points and now we have got a run of games which we think we can take a lot of points from. We are more than confident we can do that."
While Saints are looking up, down is the only direction Fulham are going unless they turn things around quickly.
The defeat saw Rene Meulensteen's side fall to the foot of the table, evaporating the renewed optimism brought by their late flurry of transfer activity.
Six players arrived and four players departed Craven Cottage during a 48-hour period, but only two of the new arrivals, Lewis Holtby and William Kvist, were registered in time to feature against Southampton.
"It was William's first game in the Premier League coming from the Bundesliga," Meulensteen said.
"Lewis is a fantastic footballer and it speaks volumes for them that they've chosen to come to Fulham.
"It was a typical last-minute transfer window. Dimitar Berbatov made his desire clear that he wanted to take the opportunity [to go to Monaco] and you can't stand in his way.
"But that's done, that's gone, and we added some really good faces to the squad. Hopefully they can help us liven the place up."