Thank you guys. :)
Yes, LuxBlend now supports hair export. First, you need to get the latest devel version
(it should work well with Lux 0.7RC1) or wait a couple of days till Lux 0.7RC2 is out.
Second, configure particle system(s) in Blender as you normally do. Make sure particle visualization is set to Path, and rendering Material is switched to the appropriate material slot:
Third, configure hair material in LuxBlend. Pay attention to hair thickness parameter on the bottom of Materials tab. Any material should work except for the new volumetric glass: volume property doesn't get attached to particle objects. I can fix this of course, but the result will look ugly: currently hair are rendered in Lux using cylinder (for segments) and sphere (for joints) primitives, so you won't get a properly looking smooth hair tube, there will be visible joints.
If you need motion blur, don't forget to activate and configure it in LuxBlend. Motion blur should work on each particle, and is supposed to be very slow with huge hair systems.
Finally, export and render your scene as you normally do. I'll attach this furryball scene below if you'd like to take a look. Just raise the number of particles back to 30000 or any number you see fit (I've lowered it to make scene size reasonable).