Lums are usually floating in the air, but sometimes breaking open a cage will free a couple. So, if you are missing two or three Lums in a level, look around for a cage.
Chances are they are hiding in there.
Yellow isn't the only color of Lum in the game. Green Saves your place in a level. So, if die you will reappear where you grabbed the green Lum. Red Refills your life bar by a small amount. Blue Refills your air supply while swimming.