I don't see how you want to use first-class functions, lambdas, in this situation. Maybe, you meant to say nested functions? Lambda function is a piece of code that is usually sent somewhere else, a callback basically.
If you define a lambda function instead of a block of code and call it right there, it would create a considerable overhead: because if it is a closure, it should save its current scope somewhere. And it is really unnecesary, if you call this function right at the same place where you define it.