The last name Fox is translated 福克斯 as in the Fox Channel.
Lance is 兰斯 (like 兰斯‧阿姆斯特朗, the athlete)。So most likely, your name is translated as 兰斯‧福克斯。That's what happens if a news reporter would translate the name.
When you are talking about choosing a Chinese name based on your original name, you can go by your taste or preference. To make it sound more like Chinese, you can pick a last name with 1 character, and a given name with 1 or 2 characters.
I would think Fox is best translated to the surname 傅 (http://zh.wikipedia.org/wiki/%E5%82%85%E5%A7%93)，Lance，could be translated to 矛、枪、戈、戟 by meaning, or pick something close to the phonetic translation 兰斯。
傅兰斯 would be fairly good to me. If you want to go deeper into Chinese-fying it, you might consider 傅戈. Other combinations don't go very well (傅矛，傅枪，傅戟)。