Early levels, Lux's harass is only mana efficient for her if she's able to proc her passive on you. The E, you'll probably get hit by most of them, its good if you can dodge a few. But when she does hit you with one, don't let her follow up with an auto.
Once she gets a mana item going that inefficiency won't matter anymore. You'll need to find a way to close the gap and kill her without her bursting you. This depends on champion, but it often comes down to dodging her Q. Alternatively, you can fake a roam and hide in a bush and see if Lux follows. Lux herself isn't a particularly good roamer so many mids have that advantage.
Late game, if she lands her Q she'll land her R, and it does a lot of damage. Diving her can be dangerous because she can have Zhonya's. On the bright side, her basic spells have pretty long cooldowns, and her DPS in a direct fight is fairly low. She's got good poke, so it really comes down to initiating quickly and having someone with the mobility to chase her down.