Ok, if you haven't already done so:
To use Alexa with your lights (and of course to get access to Alexa Simple Set-up) you'll need to add the LIFX skill to your Alexa app. You only need to do this once for your first LIFX light, any future lights will already be ready to use on Alexa once you've done this.
On iOS make sure you:
Enable LAN Access - this allows your lights to work on your Wi-Fi, even when you aren't on your Wi-Fi!
Now - let's head to the next section: Adding LIFX as a skill in Alexa