Belgium, England's Group G opponents, were again without injured defender Vincent Kompany in Brussels, while Eden Hazard limped off in the 70th minute.
Bryan Ruiz volleyed Costa Rica ahead on 24 minutes, before Napoli striker Dries Mertens equalised from close range.
Lukaku scored either side of half-time and then set up Michy Batshuayi to tap home Belgium's fourth.
Belgium begin their World Cup campaign against Panama on Monday, while Costa Rica face Serbia in their first game in Group E on Sunday.
Belgium boss Roberto Martinez said Hazard came off with a dead leg, but added: "It's nothing to worry about.
"I really enjoyed his performance. He was sharp and strong, he was majestic."
Luiz's goal came from a poor clearance from Jan Vertonghen, the Tottenham centre-back only heading towards the edge of the box where the former Fulham midfielder connected first time into the bottom corner.
Belgium then dominated the game, with Hazard, Kevin de Bruyne and Mertens a constant trouble to the Costa Rican defence.
Hazard's deflected shot fell into the path of Mertens for an easy tap-in and Lukaku volleyed in Merten's cross.
Lukaku added a towering header on 50 minutes, before unselfishly squaring to Batshuayi to score, before he was substituted.
The match ended at 4-1 with 2 goals from Romelu Lukaku who has now scored 36 goals for Belgium.
Source: BBC