Chesham joint-manager Michael Murray told the club:
"You need a little bit of luck in fixtures like this. We had our moments in the first half with a few entries into their box. We just needed it to drop for us to go in front and from there, you don't know where it could go.
"We're disappointed to concede just before half-time. We switched off from a throw-in and the lad's just put it straight in the top corner.
"There are little things to learn for the boys. They were so good in the first half and with that one lapse of concentration, against teams from Lincoln's level, you get punished.
"We're so proud of everyone around the football club, everyone involved. The players have really done the club proud and us [alongside co-manager James Duncan] extremely proud."
Lincoln manager Michael Skubala told BBC Radio Lincolnshire:
"We knew it would be really tough. These are challenging places to come for any league club. We knew how passionate they would be and they started really brightly, made us defend and got on top of first and second balls.
"After 10 or 15 minutes, we started to get control. From there on, we played a really professional game. Sometimes you don't like to point out players but I've said in the dressing room that Paudie [O'Connor] and Tendayi [Darikwa], particularly, showed why we need older players in the squad.
"The goals were exciting but Paudie was magnificent today. He was touch and go; he's been poorly and throwing up. He's gone 'we'll get through it'.
"Jovon scores goals for me this season and he's started really brightly, with his pace. He gets in behind and you just think he's going to score. Conor settled the game really well. What's really pleasing is that whoever we play up there is going to score goals."