Kirsten, I have the same problem with my crew. Poppy is mainly the one who comes to me to be played with, but when I start and the rest hear him playing, they want to get in on the fun. Poor Poppy just sits back and watches. So what I do now when he wants my undivided attention, is bring him into the hubby's room and play with him for about 1/2 an hour. The other cats just sit outside the door and wait. When I'm finished playing with him, I come back out of the room and play for a bit with the others. Poppy is really the only one who prefers a one on one with me.

I think what you did about playing with Luna first and then letting Lily back in was good to do. Maybe you can take turns by playing with each of them on a one on one basis and then have them join each other for a play together.
It works for us.