Eden Hazard converted a 29th-minute penalty after a foul on Lukaku, with the Manchester United striker netting a quick-fire second before adding a third in the closing stages.
Lukaku, also on the mark in Friday's 4-0 friendly defeat of Scotland, was brought down by a clumsy tackle from Sverrir Ingason and Hazard rolled the resulting spot-kick to the left of Hannes Halldorsson.
He then got himself on the scoresheet two minutes later by following up a rebound after a powerful Vincent Kompany header was pawed into his path by Halldorsson.
Thomas Meunier struck the outside of the post on the hour, although Belgium ultimately transformed their dominance into a third with nine minutes to play as Lukaku slotted away a fizzing cross from Dries Mertens.
Roberto Martinez's side move level on three points with Switzerland, who demolished Iceland 6-0 in St Gallen on Saturday.