Poke with E whenever its off CD. You should be able to land it everytime too, since the AOE and range are huge. If you can, auto for the passive+TLD proc, but make sure you don't get punished for it.
Hold off on putting points in W until level 7. Your full combo+one auto will oneshot most champions at 6.
Don't go for random ults on people who aren't CC'd, unless you think the ult damage will kill them from their current health (like sniping a recalling low health ADC, for instance). Most of the time, you'll be comboing people with Q+E+ult, so try to be fishing for Q's on squishies. Be ready to E+ult immediately if the Q lands.
Delay Rabadons. Lux has mediocre AP ratios but pretty great base damage, so you should be getting items like Void Staff, Haunting Guise, and Ludens first.
She also has huge range. You can afford to build her full glass cannon, so avoid items like Zhonyas or Abyssal unless they're absolutely neccessary. A lot of Lux players get Mejais because of how easy it is to stack on her and not die.
She's probably the best midlaner for stealing Dragon or Baron, as a quick E+ult is more damage than Smite at nearly every point in the game, and can be done from relative safety. Go for it - even if you don't get the objective, you might snag a kill from the AOE.