is it considered good practice to ...

[Mekire]

There is no difference and unless it is a one liner I wouldn't use the lambda.

def power(exponent):
    def _internal(n):
        return n**exponent
    return _internal


def power_lam(exponent):
    return lambda n: n**exponent


cube = power(3)
cube_lam = power_lam(3)

print(cube(4))
print(cube_lam(4))