The 34-year-old, who surpassed Bobby Tambling to become the club's all-time record goalscorer on Sunday, captained the Blues to a shoot-out success in the Champions League against Bayern Munich 12 months ago.
Lampard is aware that interim manager Rafael Benitez also has a history of success from spot kicks, most notably when Liverpool won the Champions League in 2005, but says the Spaniard has not forced the players to rehearse for that scenario.
| EUROPA LEAGUE LATEST
|9/1||Chelsea are 9/1 with Coral to win the Europa League final on penalties
"But then again, I practised them with England many a time in tournaments and we ended up losing the shoot-out, so I don't think there is any perfect recipe.
"It is down to the individual. Some people like to practise, but Michael Ballack never practised a penalty when he was here and he was one of the best penalty-takers I have played with."
Lampard also suggested that he will lift the trophy with Terry should Chelsea better Benfica on Wednesday night.
"It was the same situation for John last year and it's very unfortunate," he added. "But everybody has been involved in the process of getting us to the final.
"You win it together and, as captain of the club, John will be right up there with me."