Okay, first of all breathe!
Enjoy your lamby!
You are off to a good start with the hay and lamb feed. Hay should be free choice, depending on how you want her to grow out (slaughter or breeder) and the amount of grain she is used to, you should limit feed the grain to start with and you may or may not want to up it to free choice.
You are going to have a bit of a battle if she is by herself. She will calm down eventually but it will take a while and some work. If you have a friend for her, goat, sheep, mini horse, cattle, etc even a well behaved dog will help her out. Otherwise, you should spend as much time with her as you possibly can.
Depending on how friendly she is, she may not want anything to do with you or she might love you. If she's not real friendly, just sit in her pen quietly and let curiosity take over and she will approach you. After a while you might even be able to scratch her.
Treats - horse, cattle and goat food is a no-no because of the copper. Good treats are bread, biscuits, fruit (apple, banana, grapes etc), sometimes crisps, some vegetables, grass if there isnt any grass in her pen. Raisins. Just experiment a little with her.
Getting a lump from a needle is normal. Probably from when they vaccinated her. Almost every animal will get a lump the size of a marble, that is normal and indicates that the vaccine is working. If it is this size, no need to worry about it, it will disappear eventually, although some hang around for up to a year and that is why it is given under the arm in show animals, you cant see it as much in the show ring.
Some of them develop a lump the size of a golf ball or even a tennis ball - that means the needle nicked the muscle just a little when the injection was given - not that big a deal, it happens to the best of us. You can lance it if you want but I prefer to just leave it alone - it will either burst on its own, or just go down eventually. Obviously a very large lump is going to be an issue in the show ring, so you might want to lance it if its hugely big, but put a needle in it first and see what you can draw out.
Good luck with her!