The issue with having 3 Pokemon hold their mega stones is that you can only mega evolve one Pokemon per battle, so the other 2 are gonna miss out on the benefits of their mega evolution and basically be left itemless. So you're gonna have to pick one of them to hold its mega stone. Personally, I'd let Aggron be your Mega Pokemon; Scizor and Lucario can still function well without mega evolving, while Aggron likes to go mega because it gains filter and becomes less weak to Fighting and Ground.
As for individual sets:
Lucario does have a good movepool, though I've never heard of one going mixed. Usually they go all physical or all special.
Physical:
-Lucario w/Focus Sash or Life Orb
Nature: Jolly
Ability: Justified
EVs: 252 Attack, 252 Speed, 4 HP
Moves: Swords Dance, Close Combat, Extreme Speed, Earthquake/Crunch
Special:
-Lucario w/Focus Sash or Life Orb
Nature: Timid
Ability: any
EVs: 252 Sp.Attack, 252 Speed, 4 HP
Moves: Aura Sphere, Flash Cannon, Dark Pulse, Extreme Speed/Vacuum Wave/Nasty Plot
And if we're to try a mixed one:
-Lucario w/Focus Sash or Life Orb
Nature: Hasty/Naive
Ability: any
EVs: 252 Attack, 252 Speed, 4 Sp.Attack
Moves: Close Combat, Crunch, Flash Cannon/Dragon Pulse, Extreme Speed
Technician is by far the better ability for Scizor; Light Metal does absolutely nothing for it. It also needs Bullet Punch.
As for Steelix, put all the EVs into Attack and HP. Steelix has one of the highest Defense stats in the game, so it hardly needs investment in that stat. Iron Head/Iron Tail/Gyro Ball are more reliable STAB options than Heavy Slam is. Crunch > Dark Pulse on Steelix.
While Aggron does have some decent special attacking options, it has **** for Sp.Attack, so physical attacks will serve it better. Not to mention that it has base 140 Attack when Mega Evolved:
-Mega Aggron w/Aggronite
Nature: Impish
Ability: Sturdy----->Filter
EVs: 252 HP, 252 Sp.Defense, 4 Attack
Moves: Iron Head, Roar, Thunder Wave, Earthquake/Stealth Rock
I....usually don't tell people a Pokemon sucks, but Forretress really does. After its set up those hazards, its dead weight on the team. As a replacement, Heatran would be better, since it's immune to Fire attacks, which your team doesn't like.
-Heatran w/Air Balloon, Life Orb, or Choice Scarf
Nature: Timid/Modest
Ability: Flash Fire
EVs: 252 Sp.Attack, 252 Speed, 4 Defense
Moves: Fire Blast, Earth Power, Flash Cannon, Dragon Pulse/Stone Edge
or
-Heatran w/Leftovers
Nature: Calm
Ability: Flash Fire
EVs: 248 HP, 252 Sp.Defense, 4 Sp.Attack
Moves: Lava Plume, Toxic/Will-o-Wisp, Roar/Protect, Stealth Rock
Also, both SR and Spikes is kinda unecessary on Ferrothorn. Pick one, and replace the other with Leech Seed, Protect, or Thunder Wave.
So yeah.
Condensing time.
If you intend on using Mega Scizor, Light Metal is the better ability because Mega Scizor will have Technician when it Mega Evolves anyways. Mega Scizor could have Technician as its pre-Mega Evo ability if you can't be bothered horde-hunting for Steadfast Scyther. Also, it lets Scizor switch into Grass Knot and Low Kick more easily. However, Technician is the better option if you do use Choice Band, as Mega Scizor does all of Scizor's other older sets better than regular Scizor. Since Mega Aggron is better played in its Mega Evolution, as that is the sole reason why it's even used in standard play, Choice Band is the best option:
-U-turn
-Bullet Punch
-Superpower
-Pursuit/Knock Off
Nature: Adamant
EVs: 248 HP/252 Atk/8 SDef
Item: Choice Band
Ability: Technician
Physical vanilla Lucario outclasses the special variant, as its physical moves are stronger than its special ones. Mega Lucario did in fact get away with using special sets for the surprise factor, adding to its unpredictability before Lucarionite got banned to Ubers. Aegislash also got banned to Ubers recently, so there's really no need for Earthquake this time:
-Swords Dance
-Close Combat
-Extreme Speed
-Iron Tail/Ice Punch/Crunch
Nature: Adamant
EVs: 252 Atk/4 Def/252 Spe
Item: Life Orb
Here are better Mega Aggron sets listed below:
-Stealth Rock
-Heavy Slam/Iron Head
-Thunder Wave/Ice Punch
-Earthquake/Rock Slide/Roar/Dragon Tail
Nature: Impish
EVs: 252 HP/16 Def/240 SDef (adds a bit more physical bulk and hits a jump point in Defense)
Item: Aggronite
Ability: Sturdy
or
-Rest
-Sleep Talk
-Heavy Slam/Iron Head
-Earthquake/Ice Punch
Nature: Impish
EVs: 252 HP/16 Def/240 SDef
Item: Aggronite
Ability: Sturdy
Things have changed for Heatran, really, as it still has the Speed it needs with Choice Scarf, making Timid not really necessary. Hidden Power Ice is preferred over Dragon Pulse because it hits more than just Dragons. Of course, it's not really needed if Heatran has the wrong Hidden Power type:
-Overheat
-Flash Cannon
-Earth Power/Hidden Power (Ice)
-Stone Edge/Hidden Power (Ice)
Nature: Modest
EVs: 252 SAtk/4 SDef/252 Spe
Item: Choice Scarf
or
-Fire Blast
-Taunt
-Stealth Rock
-Toxic/Will-o-Wisp/Earth Power
Nature: Modest
EVs: 32 HP/252 SAtk/220 Spe
Item: Air Balloon
or
-Lava Plume
-Toxic/Will-o-Wisp
-Taunt
-Protect/Stealth Rock
Nature: Calm
EVs: 248 HP/8 Def/252 SDef
Item: Leftovers
Steelix is terrible, really. It's not that strong and it's easily beaten by most special attackers. While Excadrill suffers from the latter problem, it's stronger and faster than Steelix and provides hazard-clearing utility in Rapid Spin:
-Earthquake
-Iron Head
-Rock Slide
-Rapid Spin
Nature: Adamant
EVs: 252 Atk/4 Def/252 Spe
Item: Choice Scarf
Ability: Mold Breaker
or (if Kalos-bred, as Iron Head is a B2/W2 tutor move)
-Swords Dance
-Earthquake
-Rock Slide
-Rapid Spin
Nature: Adamant/Jolly
EVs: 252 Atk/4 Def/252 Spe
Item: Air Balloon/Life Orb
Ability: Mold Breaker
For Ferrothorn, Gyro Ball is the superior option for Iron Head because it works well with its poor Speed and it tends to hit its maximum power of 150 against fast opponents. As Zekrom said, pick one entry hazard and you're good, as Ferrothorn is setup bait otherwise:
-Stealth Rock/Spikes
-Leech Seed
-Power Whip
-Gyro Ball/Thunder Wave/Knock Off/Protect
Nature: Relaxed
EVs: 252 HP/88 Def/168 SDef
Item: Leftovers
Ability: Iron Barbs