You have to go through EJ,CFA or MSD you cannot apply direct to Lion, if you do they will write back to you thanking you for your intrest and directing you to one of the above companys.
in terms of exams, there are 4 exams to pass for your licence conversion, they are not hard, but you wont pass without the required study.
there is also 3 internal exams to pass on the 737 systems.
the latest news I have heard is that there is a backlog of around 90 pilots waiting for there 500 hours to start, Lion have 2 aircraft being delivered next month and then nothing until next year.
it would take approx 12 months to get on line with Lion when you take in to consideration retirements, new aircraft and people leaving.