[MRG] FIX: Remove lil matrix conversion

Removed a XXX from the code. (unnecessary LIL conversion)
Looks like a pretty tight loop to me, but there's one potential micro-optimization that I can think of just now short of Cythonizing. Get rid of `startptr`, and instead do

```python
for ind in xrange(n_samples):
    endptr = np.searchsorted(rows, ind + 1)
    ind_cols = cols[:endptr]
    ind_data = data[:endptr]
    # do the real work
    data, rows, cols = data[endptr:], rows[endptr:], cols[endptr:]
```