Installation Software DVDs on Macbook Pro MC721ZA/A

Question

I bought MacBook Pro today, when I reached home, I unboxed its contents, but I didn't find any Software DVD for Mac OS Lion installation. I called the seller, he told me that there are no Software DVDs included since Mac OS Lion installed Macbook Pros. He said there is a process by which you can re-install the OS without using DVD. He will let me know of which by Monday.

I like to make sure that what he said is that true?

Thanks