He was on a hat-trick after just over half an hour and his fourth, early in the second half, took him to 15 for the campaign.
Southend sent on their three substitutes after that and pulled two goals back, but the result was already in the bag.
Rovers are unbeaten now in the seven games and Southend were in trouble from the start when their captain Adam Barrett - who used to captain Rovers – mis-hit a clearance onto his own bar.
No-one went up with Lambert as he was left with a free header from Stuart Campbell's corner from the right.
A fine save by Adam Federici, on loan from Reading, denied Lambert a second goal minutes later, but he was ideally positioned to drive home David Pipe's cross from an unchallenged run down the right on 16 minutes.
His hat-trick goal, which was set up for him by new partner Jo Kuffour, left Southend stunned and dispirited.
They could easily have gone in six down with their one decent ball into the box having come from their other Reading loanee, Hal Robson-Kanu.
There were some harsh words spoken in their half-time dressing room and certainly that had an effect as they pressed Rovers for the first time.
But ten minutes in, another Campbell corner from the right saw Lambert bury yet another unchallenged header.
Manager Steve Tilson played the only Southend card he could with his triple substitution and drew a brief but dramatic response as centre-back Peter Clarke and sub Francis Laurent grabbed goals to ruin Rovers' hopes of a fourth clean sheet in six starts.
Rovers were soon back in their stride but saw substitute striker Darryl Duffy, who came on for the last 20 minutes, miss three good chances.