The Belgian striker has been impressive for the Red Devils since his summer switch from Everton, netting 11 goals in 10 appearances in all competitions.
But Neville is intrigued to see how Lukaku does against Liverpool at Anfield on Saturday.
He said to Sky Sports: “Romelu Lukaku has settled in brilliantly and done everything he was asked to do in terms of converting those home draws into wins, but games like this one are the real test.
“When I look back to the Everton striker's recent performances at Anfield he didn't play well, so this is the next step up for him.
“Going away to Anfield is a big test and his service will be more limited so he's now got to show the ruthless streak to win the big games for United.
“He will be defined by his performances in big matches.
“You're at a club with aspirations of winning things and a world class striker will be defined by trophies and performances in big matches.”
Manchester United are currently seven points clear of their arch rivals going into the match at Anfield.
Lukaku was struggling with an ankle injury before the international break but is expected to be first for the clash with Liverpool.
A win for the Red Devils would see them go top of the Premier League before Manchester City face Stoke at 3pm.
Liverpool will be desperate to close the gap on their title rivals by handing United their first top flight loss of the season.
