It's been years, at least - maybe from the beginning? I just tried a small program with a lambda inside a member function. Works fine, generates IL like:

  IL_0001:  ldarg.0
  IL_0002:  ldsfld     class [mscorlib]System.Func`2<int32,int32> test.Program::'CS$<>9__CachedAnonymousMethodDelegate1'
  IL_0007:  brtrue.s   IL_001c
  // create and store delegate
  IL_001c:  Load delegate from field and call
   

F# will do neat stuff like completely eliminate the lambda, if you're only using it locally. It even does some constant detection across functions, so it can calculate constant functions at compile time. But if not, F# will create a new closure object every time.