I had that problem with Ripley and Jazz when we first got Jazz last year. Whenever I or my husband would try to give Ripley attention or even just brush him, Jazz would run in between us and Ripley. It really stressed and upset Ripley since he had been my only cat baby for over 10 years. He acted so upset all the time that I didn't even notice when he first bacame sick a month later from catching Jazz's URI. It took Ripley over two months to recover and then after that he began to tolerate Jazz more. Plus by that time Jazz had settled in and wasn't such the jealous kitty.

I think it will just take time for Lily to settle in and not be such an attention hog (as my husband called Jazz). In the meantime try to give Luna all the attention you can. Let her know she is still the queen of the house.