So there's a point where Lucifer gives a monologue and basically opens up about the existential despair he's feeling.
Why do the Winchesters only think to attack?
Why doesn't Sam say something like, "Look... why don't we go get some beer and nachos. I have a couple of ideas. Maybe they're stupid, but like you say, you have plenty of time."
Then propose that Lucifer try to build a world. Sure, he can't just wave a hand and say "let there be light". But he could head a company and create a terraforming operation. It might take centuries, but he has the time. If he builds a "better" (whatever that means) world than the Earth, he might well draw his Father's notice, which seems to be what he wants.