First, you need to create an object in Lemur and assign a MIDI message. Using the In App Editor, create a Fader object. Tap and hold the Fader to bring up the inspector panel. Tap on the 'x' variable in the Output section at the bottom of the inspector. Tap Automap in the top-right corner, this will automatically assign the next available CC on MIDI Target 0. Open the settings panel by tapping the top-right icon in Lemur. Tap on More Settings... and look for MIDI Target 0. Select a MIDI output, for example MIDI Daemon 0 if you are using MIDI over Wi-Fi. If you are using a hardware MIDI adaptor such as iRig or iConnect MIDI, select the appropriate output port.
In the ProTools menubar, navigate to Setup / MIDI / Input Devices. Make sure that the appropriate MIDI input port is enabled (whether Daemon Input 0 or hardware adapttor). Now you can right-click on the control you want to map, for example the Cutoff knob in the Vacuum synth (included in Pro Tools 8). Select 'Learn MIDI/CC' from the drop-down menu, now move the Fader in Lemur. The control is now mapped.