An error message is quite clear. You need to change column to not accept null values:
ALTER TABLE IN_LOOKUP ALTER COLUMN LID int NOT NULL
Then you'll be able to execute below lines:
IF NOT EXISTS(SELECT 1 FROM sys.objects WHERE type = 'PK' AND parent_object_id = OBJECT_ID ('IN_LOOKUP'))
ALTER TABLE IN_LOOKUP ADD CONSTRAINT PK_IN_LOOKUP PRIMARY KEY (LID)
PRINT 'Primary Key added'