When I click the Gag or Cuff button on the HUD, it tells me that the gear has not be transferred in yet.

Your LULU Signature gear first comes in different HUD, one for each gear. You can transfer all of them into one HUD. Here's how.

If you have already performed a transfer earlier, and you get this message, it probably means that SL has lost your settings - i.e. it has rolled back your HUD to a pre-transfer state. This could be due to two reasons:

you crashed or got disconnected before you had a chance to save the settings.
you had clicked the red button, but you re-wore your HUD too quickly.

To fix, simply transfer again (click the LULU logo and select "transfer") - but take care to properly save the HUD.