Lallana put Saints in front during Saturday's trip to leaders Charlton, but they were pegged back by Deon Burton's equaliser and are still waiting for that elusive maiden victory.
But Lallana said: "I'm sure the first win is just around the corner because we're becoming stronger as a team.
"You only have to look at the bench now to see that because it's a lot stronger than it has been.
"It's massive to get that first win so it's a shame there's no match in midweek because the lads are up for it and we just want that win badly.
"Yeovil on Saturday now becomes a massive game. We say it a lot that the next game is big, but we do need that win to get the momentum going."