Do not bother killing every enemy you encounter, especially if they don't have a Lum in their posssion. If this is the case then just avoid them.
Hearts
If you have found one of the rare hearts it will take two as opposed to one hit for you to die. Falling off the level is still a one-hit kill.
How to get many lums
Well try to collect the giant floating gold coins as much as possible in order to get many lums in one run. Also don't forget to collect the hearts during gameplay because you will need them if you get hurt!
Strategy
It is better to concentrate on finishing a level as opposed to trying to find every Lum in it. Doing this will give you a stronger knowledge of where they are located when you next play.