I don't see any InstallESD.dmg file anymore. There isn't even a folder called SharedSupport.
To OP; I don't think you can have a physical copy of it anymore (maybe Apple wants to stop people pirating.) However, once you install Lion, you have a small partitioned disk which can be used for emergency purposes, and reinstall Lion if necessary. However, according to 9to5mac, you HAVE to be connected with the internet to do a clean install.