On the previous existance of the Lucky Egg: Thanks. Makes me want to back and level up some dudes in HG. My bad for not realizing it. As for the menus, that shyt needs to organize its damn self, thankyouverymuch.
It's not surprising you didn't realize it. The only way to get it was on wild Chansey, and it was extremely rare (not only were Chansey themselves hard to find, but there was only a 1% chance of running into one with a Lucky Egg).
To be fair, you
can game the system to get rare held items.
First, have a pokemon with the Compound Eyes ability at the head of your party (this increases the chances of wild Pokemon having a held item in the first place). Let it faint deliberately, but keep it at the head of your party. This means that its effect on wild Pokemon is still in place.
For the second 'mon in your party, use something with the Frisk ability (lets you see what items a foe is holding) and the move Thief. Make sure this one isn't holding an item or it won't work.
Then just run around in the grass and pilfer whatever you need to from the wild Pokemon when Frisk detects an item.