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There is some old code for wrapping functions in a pickleable jacket: https://trac.sagemath.org/attachment/ticket/11845/picklefunc.py and there is code that comes packaged with sage to pickle functions: sage.misc.fpickle (the first one goes through some effort to try and pickle closures correctly as well -- something that lambda functions are likely to be. I'm not sure if the second will handle that). In all cases, beware that while pickle goes through great lengths to be backwards compatible with older versions, this does not at all apply when you pickle code objects.