Coventry's promotion was confirmed on Friday night after their draw with Blackburn Rovers.
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Named the Championship Manager of the Year on Sunday, Lampard stated: "There's a lot of work to do because we know the step that it will be for the football club.
"So that's something we have to work on quickly now because of where we're at, we have to be ambitious -- we're Coventry City football club.
"I know what the Premier League is and its going to be a challenge, we can enjoy the moment for the next two weeks, but of course we have to work behind the scenes to ensure we go up the right way."