[MRG] FIX: Remove lil matrix conversion

Removed a XXX from the code. (unnecessary LIL conversion)
Ouch. I was playing with the `kneighbors_graph` which when converted to sparse, gives the row in sorted order. My bad :/

    In [20]: connec = kneighbors_graph(X, 3)
    In [21]: connec = connec.tocoo()
    In [22]: connec.row
    Out[22]: 
    array([0, 0, 0, 1, 1, 1, 2, 2, 2, 3, 3, 3, 4, 4, 4, 5, 5, 5, 6, 6, 6, 7, 7,
       7, 8, 8, 8, 9, 9, 9], dtype=int32)