It seems not reasonable using Twilio's lookup API for each message when I try to send out a bulk. It'll be too expensive and time consuming? So I'm wondering if there's a way or a technique I can integrate Twilio's Lookup API with my bulk.
The Lookup API is not a bulk API. For each number you wish to lookup, you will need to make an individual request.
I would recommend that you don't look things up at the time of sending a bulk lot of messages, but that when you enter a user's phone number into your system you perform the lookup at that point and store the results alongside the number. That way you only need to perform the lookup once and it is done outside of your messaging API requests.