The 19-year-old striker has scored 12 goals, including a double in the recent win over Sunderland, while on loan at the Baggies from Chelsea.
The Belgium international also scored Albion's goal when they were beaten 3-1 at the Liberty Stadium earlier in the season.
"They have talent and speed up front with Lukaku and we are aware of that, especially in transition and on the counter-attack," said Laudrup.
"They will be playing at home but we always like to have the ball, so we have to be careful there because we know Lukaku is so fast.
"He means they can go with two or three passes and move from their 18-yard box to ours in three seconds if we give the ball away.
"They are a strong side. We are two of the major surprises in the league this season - we both have 40 points with 10 games to go - and nobody could have thought that back in August."
In the game between the sides earlier this season, Swansea produced arguably their best half of football of the campaign, but Laudrup also feels it taught his players an important lesson courtesy of Lukaku's goal on the stroke of half-time.
"It was one of our best performances, it was fantastic what we did in that first 44 minutes and 30 seconds," said Laudrup. "We played fantastic one-touch and two-touch football and scored three great goals, but it also showed us what football is about.
"We could have scored five goals and (goalkeeper) Gerhard (Tremmel) could have caught a cold down there in the first half.
"But then they scored and the second half completely changed, they had confidence that they could get back in the game.
"We won the game but it showed us you can play so well and things can change."