The Lucky Egg is a held item that was first introduced in Pokémon Gold and Silver. While it's a popular item in later generations, it's not available in Pokémon XD: Gale of Darkness.
In this game, the fastest way to level up your Pokémon is to use the "Train" option in the "Battle" menu. This will allow you to battle against a large number of wild Pokémon very quickly.
You can also use "Level Up" in the "Battle" menu to gain a small amount of experience points. However, this is not nearly as efficient as using the "Train" option.