QQ: Do I have to refine killer lance + before I give it away

No, you would lose the refinement. Inherit, then refine.

I'm pretty sure you have to inherit the weapon BEFORE refining it. I just tried to give Nowi's refined Lightning Breath+ to Ninian (Just to see if I can) and it says that the refined skill can't be inherited.

Not to mention that it says "This skill can only be equipped by its original unit." So...that could be a dead giveaway to your question. :P

Give the Killer Lance+ to Effie first, then refine