I was one of the first to find and photograph a lionfish in Coz. While the park has only listed 13 documented reports, the number is much higher by now.
If you're looking for them here are two hints that'll help.
1- Since they have substancial "windage" they tend to prefer sheltered areas in the lee of the current. Look for them in the same types of quiet recesses where you'd expect to find cardinalfish, or juvenile drums.
2- Don't only look for the classic bright red/black striped adults. There are lots of Juveniles in the 2-4 inch range and these are much paler in color from almost translucent to a pale faintly striped lavender.
For your reference, here's a photo of the juvenile I found back in April. The body is about 2-3" long, and he was vertical. What I first saw and why I stopped wasn't a lionfish, but what looked like a tube anemone growing out of the wall. It was the wrong thing for the location, so I stopped and took a closer look, turned out my tube anemone was the guy in the photo below. As I was marking the site, a divemaster from another group came by and captured it.
Happy hunting, keep your eyes open for anything out of place, but remember that the Marine Park "No touch, No take" rule applies to lionfish as well, so if you see one alert your divemaster, who'll take it from there.