I'm adding a few more links to my "Follow Friday" from last week.
1) The Genealogy Surname Navigator: Type in the surname, and you'll be able to search most Luxembourg message boards and a few databases at once. It's a good way to hit passenger lists, the 1880s census, message boards, and more. Be aware: a few links are outdated.
2) "Looking for Luxembourgers": A good - and short - history of Luxembourger migration, this entry gives you an idea of where to start looking for family.