I'm sure that it's too late for the original poster to answer this question but here goes:
As per the previous answer there are no spoilers in the Lone Gunmen for the X-Files so you could safely watch all Lone Gunmen episodes in complete safety.
However, the reverse is not true.
The Lone Gunmen series was crudely cancelled after 13 episodes. Although it didn't contain any massive cliffhangers that needed clearing up the characters were much loved so a 'Wrap-up' episode Jump the shark aired in Season 9 (episode 15) which conslusively ended the Lone Gunmen series. This episode while revisiting the characters shared between the X-Files and the Lone gunmen also includes two characters from the Lone gunmen, Yves Adele Harlow & Jimmy Bond neither of whom have previously appeared in the X-Files.
So, the advice is, watch the Lone Gunmen series immediately before watching the 'Jump the shark' episode of the X-Files.
As a footnote, the x-files season 7 episode 9 - Millenium 'wraps-up' the television series Millenium so it is also advisable to watch the TV series before the X-Files episode.