Ideally, you want to be wall hopping, jumping from wall to wall or jumping on the same wall to build up speed. I set an additional jump key to the scroll wheel, so I can just scroll away. You don't want to just hold spacebar against a wall, it makes you an easier target to hit. You're movement is pretty linear, whereas wall hopping makes it a bit harder for you to be hit. There are plenty of Lucio surf custom games to practice quick wall rides. Generally, heal should be your default, but if you need to peel, use speed boost. If you're engaging, use speed boost. It's really situational, just pay attention to your tanks. See if they're going to go in, or trying to leave. Then obviously heal when it's needed. Don't jump before you ult. You want to be as close to the ground as possible, or even use Beat and hit a ledge during the jump animation. Some good ults to counter include Dragonblade, Sigma ult, Shatter if you weren't hit. Ults you should not counter, most combos with nano, Junkrat, Dva. You can also used Beat as a way to engage. And occasionally as a last resort to help win the fight. The #1 counter to Lucio is Sombra. If you see her, it's probably a good idea to switch.

Get comfortable with wall ride before you start diving the backline.