This is my first build on Mobafire, so go easy on me :) I'm making this mostly for reference for me so I don't forget the build order that worked :P (also, please ignore the runes; I haven't really had time to play with them as of yet, so they're all cooldown for now :P not that that's bad).
Basically, you start with Boots of Speed and health pots so you can early game harass, even though it's pretty weak. If you're laned with a good early game dmg character, her Q can hold an enemy still for two seconds and save your DPS character their Exhaust spell a lot of the time to get the early game kill.
Your objective isn't to pull aggro. It's to use your abilities to let your partner do the damage. When you cage an enemy you either throw a shield on your ally to protect them from the other opponent or throw the E to slow their movement back. Try to keep laning until 6 or 7. I switch between Merc Treads and Ninja Tabi based on the opposing team. If the majority of their team or your lane is physical, go tabi. Otherwise, the 25 MR and the reduced debuff time is awesome on any character, IMO :) Try to start getting into Archangels if you can; the extra mana will help you stay in the lane longer. Use teleport after getting boots to get right back in the action so you don't stay out of lane too long. Teleport is also used to get across lanes quickly for fast support (turret defense/push, team battles, etc.)
Once you start hitting mid game stride, you should be doing decent damage with your partner. Once you build into Rod and Staff, you can start going defensive on them. Lux's E ability has the ability to farm minions, and it marks them because of her passive, allowing you to do even higher amounts of damage. The ghosts/ghouls and wolfs are easy targets for Lux in the jungle, and allow for some quick gold mining.
The last 3 items on this build are up in the air. I'm really big on Guardian Angel. It's invaluable in team fights in 5v5, and gives pretty good armor and MR. Frozen Heart (or brain right now :P) is one of my favorite armors. It gives you 99 armor, 500 mana, and reduces cooldowns by 25% and reduces enemy attack speed. Seems pretty good to me (especially because, thanks to archangels, it also adds 20 ability power). Force of Nature as a last item is mostly just to add some more MR to the build, but the health regen is really good too.
I know this Lux build doesn't do a lot of damage, but she gets a lot of mana, a decent amount of HP, and enough armor and magic resist to make you a pretty tanky support late game. If the other team is really bad, switching out Guardian Angel for Zhonya's Ring is a really good switch, especially for the invulnerability part of the equation. Use your E to farm as best as possible, and mid-late game don't be afraid to pop your lvl 3 ult to farm minions. Without CDR, it is back within 35-40 seconds (I don't really remember..), but this build runs 25% without runes and masteries. You'll probably never see the end of this build in most matches since it is a bit expensive.
Comments and suggestions are more than welcome. :) I'd like to make a better Lux support build, and I know this is far from perfect. I've had a lot of good games going this route, so I hope you do too! :)