The Fu-mans are the harder ones to keep out of the dawrfs, just so you know, might be best to try a different one first and see how you do first. You can keep multiple lions in the same tank.
As for feeding, ghost shrimp works best IME for training. Get yourself a pair of long forceps like these:
Then grab the live shrimp with them and try feeding the lion. At first you may have to drop the shrimp close to the lion but always try to get them to eat right off the tongs. Once they do that they will start to recognize the longs as a food source and eat anything off them. Maintaining this will also keep the lion trained to be target fed only and it will make feeding other tank mates easier and prevent competition and "accidents" from occurring.
Using a small tank or QT setup with no tank mates and little rock is best until they are properly trained.
I'll also note I personally avoid/disagree with the common idea of just dumping in Mollys or other feeder fish in the tank with them, it teaches them nothing. You could use the tongs with live fish but I've always had better luck with ghost shrimp. Which btw can be purchased from Petsmart for $.99 each, just don't mention what they are for as some employees can be a little sensitive
Here's a pic of the last couple lions I had back in Sask:
I wouldn't recommend the horses as tank mates, I had them all trained a certain way prior to being introduced together.