The 47-year-old ex-Livingston, Wycombe Wanderers, Colchester United, Norwich City, Aston Villa and Blackburn Rovers began his seventh job in management on Saturday with a 0-0 draw at Preston.
"There's a great adrenaline rush about all this," Lambert told BBC Sport.
"It's still heart-attack material but it's what I've done since I was 15."
The Scot added: "There's a great buzz about the whole thing and I'm delighted to start with our first clean sheet in 10 matches.
"No slight on (previous head coach) Walter Zenga, but we had to get stronger at the back. The foreign kids have done great, but it's important to get in lads who know the league."
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Lambert made two key personnel changes against Preston, bringing back midfielder Jack Price and starting 18-year-old striker Bright Enobakhare for his first league appearance since 23 April.
"Jack's a really clever player, a good footballer," Lambert said. "He recognises danger. It was important to bring him back. That was an easy one to make.
"As for Bright, I'd watched him for the Under-23s in the Accrington game and in training. He's a big talent. He's only a baby in terms of football stature, but the things he does are great. He gets people off their seat."
Lambert started his reign without several injured players - striker Joe Mason, winger Ola John and midfielder Prince Oniangue, as well as their long-term absentees, defender Mike Williamson, striker Michal Zyro and winger Jordan Graham.
And he has insisted that, under his management, talented youngsters will get their chance.
"The future for this club is good," he added. "Not just Bright. We've got young players as good as I've seen in many a year. I've told them that if you're good enough, you're old enough."
Paul Lambert was talking to BBC WM's Mike Taylor.
New Wolves boss Paul Lambert says being a football manager is "heart-attack material" - but he still gets the same adrenaline rush from the game he loves.