Here is my advice:
It seems like you are getting another one (if you do) because Lu doesn't love you as much as you want and you think another one might. You also think that this other chinchilla will teach Lu. This is going to sound very horrible but I think you are taking the easy way out. I think you are at your wits end and are ready to give up but getting another chinchilla seems like it could be a miracle option that means you don't have to do a lot but you get the results you want. See I told you that was going to sound nasty. I don't want to shout at you and if I'm wrong I really apologise. I could have got the wrong end of the stick completely. A pet is a huge commitment, not something you can give up on. Would you give up on your child if you had one, just because they were misbehaving? Don't get another chinchilla because you're not happy with the way your current one is acting. My Cheech was exactly the same way when I first got her but now she is as tame as can be. It took me a year and a half to win her over, but it was worth it. Please don't hate me for what I have said I'm not having a go, I just don't want you to get another chinchilla because you think there is something wrong with yours only to find out that the new one is exactly the same and now you have two to deal with. I hope you can understand.
Now for some better advice.
Sit by the cage. Let Lu sniff your fingers through the cage. Tickle him through the cage and let him take treats from you and nibble your fingers (the greeting nibbles, don't let him bite you hard
). Sit with your legs on level with the door so that if you opened the door he could hop onto your legs. Put your hands in the cage trough the door and let him come to them. Do not chase him around because he doesn't like it and he will learn your hands are scary. Let him come to your hands of his own accord and give him treats. Not too many or you'll make him unhealthy. He might try and escape. Only let him onto your legs and use your hands to stop him escaping. This might be really hard.
He has to learn that he can't come out all the time anyway. Play with him in the cage, tickle him and use your hand to snuggle with him if he'll let you. This is how I bonded with Cheech. Eventually when she was on my lap I could hug her to my body. She hated this at first and would run back to the safety of her cage, but after a month or so she learned to trust me. Sometimes I would give her a treat while holding her so that she learned to associate hugs with treats. I hold her with her head under one of my arms which I hug her with and my fingers round her bum with her tail through two of them. It takes a lot of time to earn the trust of a prey animal. Have patience.
Some advice on letting him out:
Try and find an enclosed room. A lot of people use the bathroom making sure there is no water around first. Making barricades rarely works as you know because they are so damned intelligent. Mine spend all their time trying to outsmart me and get under the bed etc. And just as others have said find something your chinchilla likes to use as a bribe to get him to go back in. With the dust bath, show it to him and don't let him in, hopefully he'll get even more excited. Lure him into the cage. Put the dust bath completely in the cage if you can and shut him in with it. Mine learned I did this and eventually wouldn't go back in.
A lot of people here use timers. They set the timer for half an hour or whatever and when it rings they get their chinchilla(s) back into the cage. After a time they learn that the bell means they have to go back, but if going back is rewarded with a treat they start to go back automatically to get the treat. Try lettign him out at the same time each day if you can and for the same amount of time. Chinchillas respond well to a scedule. I try not to chase mine too much. The towel never worked for me either. I try to get them into a corner where their only way out is past me. If I'm on my knees and they jump on my lap I hug them to me quickly and deposit them in their cage with a treat to follow. Also you are not comfortable holding a chinchilla. I wasn't and it's hard to pick them up when you're not comfortable doing it you just don't know how. After a while it becomes second nature and everything becomes a lot easier.
And some thoughts on treats. You don't want to give too many treats because they become unhealthy and can get ill, bad livers and diabetes etc. It should be limited to one a day, but when you're training a chin you might need to give them more. Well this is something I found handy. I have another brand of chinchilla food I use for treats. It tastes different to their normal one and has a different shape and texture and they think it's a treat. I give them one or two pellets a day and they think they're not allowed to have a lot of them. There, perfect treats that they can't have too many of.
Anyway I hope I've helped and I hope you don't hate me now. I don't want to be nasty I just don't want you to give up on your little one or get another thinking that will solve the problem when it might make it worse. It does take time to earn their trust, they are prey animals and think how huge we are to them. They are scared and it might take you a year to fully earn his trust but it is so worth it! Be patient. Spend a little time each day with him, letting him get to know you, tickling him, treating him, earning his trust. Then try letting him onto your lap to pick him up. I really hope it all works for you. It looks like you're making progress anyway because he will come to you and will let you tickle him. Keep us all informed as well.