Writing in third person is a way to keep the writing objective. Writers often find it useful to narrate a story in third person so that the writer can take into account the thoughts and actions of every character. To write in third person, writers use third-person pronouns such as the subjective pronouns "he, she, it, [or] they," the objective pronouns "him, her, it, them," and the possessive pronouns "his, her hers, its, their, theirs" ("Narration"; "Use Third-Person Point of View"). For the most part, stories narrated using third person are told by omniscient narrators--narrators who can see and hear all though, sometimes, third person narration can focus on the perspective of one character rather than all characters. Road Dahl's short story "Lamb to the Slaughter" is narrated in third person with a primary focus on Mary Maloney.
In contrast to third person, anything written in first or second person gives a much more subjective perspective. Anything written in second person will contain the second person pronoun you, while anything in first person will contain first-person pronouns like I, me, and we. More specifically, a story written in first person will focus on the thoughts, feelings, and actions of one character told only from that character's perspective. Hence, changing anything from third person to first person is a mere matter of changing and adding pronouns. Since we know Dahl focuses on the character Mary, if we were to rewrite the story using first person, it would make the most sense to write the story from Mary's perspective.
As an example, if we were to change the first few sentences to first person, we would have something like the following:
As I waited for my husband to come home, I reflected with self-satisfaction that the room was warm on such a cold, winter evening. I had already drawn the curtains, lit the two table lamps, and even set two glasses out on the cupboard cupboard behind me with some drinks.
It may even be a good idea to add your own paragraph to describe who she and her husband are, told in the form of her own self-reflecting thoughts, since the reader won't really know unless she explains it. However, that's not strictly necessary, and many short stories written in first person leave the characters ambiguously described.