Lampard only arrived from Derby County on 4 July, but it appears that the former Chelsea midfielder has wasted little time imprinting his style on the squad.
"It's always a lot of hard work during pre-season but it's the work you have to put in, to create a good base for our physical condition," Azpilicueta is quoted as saying by the Daily Mail.
"[Lampard] wants us to play with high intensity and we want to be dominant in games, the manager has explained how he wants us to play and we are all enjoying the camp so far."
Playing with high intensity will require a lot of work now and Chelsea's upcoming run of pre-season friendlies will be vital for Lampard to put his game plan into action.
The Europa League winners will face Irish side Bohemians in Dublin as early as Wednesday night and will remain on the Emerald Isle for a follow-up game against St Patrick's Athletic.
After that, Chelsea fly east and will face Kawasaki Frontale and Barcelona in Japan on 19 July and 23 July respectively. Further friendlies back in Europe are then planned against Reading (28 July), Red Bull Salzburg (31 July) and Borussia Monchengladbach (3 August).
The Blues will kick off their Premier League campaign on Sunday 11 August with a trip to face Manchester United in a big early test for Lampard and his players.