In recent years, Lu has been an active member of a number of bands, including Billy Bragg & the Blokes, the Mekons, the Blue Blokes 3, Les Triaboliques, and PiL. He is also a member of Shriekback, and frequently collaborates with jazz soprano saxophonist Lol Coxhill. He has been recording and performing squeaky-bonky acoustic "anti-music" in Raz3, a trio with K-Space's Ken Hyder and Tim Hodgkinson. He and Mark Roberts have also performed with Babar Luck (from King Prawn).
Lu is also known for his contributions to the world music community. He was responsible for setting up the precursor to WOMEX, arguably the largest annual international music conference and trade fair. He participates in a number of world music-related conferences and festivals, often as a speaker or a member of the jury. He was also part of the 2005 and 2007 Sayan Ring Festival's jury in Siberia. On 25 July 2009, Lu, Tarhana, Labess, and Pacifika led the Global Mashup workshop at the Calgary Folk Music Festival.
One of Lu's current focuses is Central Asia. Following research trips to Tajikistan, Kyrgyzstan, and Kashgar, he has been giving talks on the state of the region's music industry. He has also worked with Restorers without Borders to initiate the Tusovki project in 2006 to manage, promote, and develop a venue for musicians in the Gurminj Museum in Dushanbe.