There are three problems with Lunar Dance on Cresselia though:
-Cresselia's low speed means it could be KO'd before using the move, since it's best to use the move when it's low on health to allow maximum usage of Cresselia before it faints
-Dual Screens, or any screens really, work best when used immediately, ideally with Light Clay to ensure they cover as much of the battle as possible, meaning Lunar Dance is only effective if used after setting screens up a second time or leaving your team without screen protection until at least one of your Pokemon has fainted
-Lunar Dance will obviously render you unable to Dual Screen again once the first ones wear off unless you have another Screener
Your best bet is Klefki, Cresselia, Lugia, or Xatu.
Klefki gets the screens up the fastest with Prankster, and is your best guarantee of screens unless a faster Prankster taunts you. However its only healing moves are Rest and Draining Kiss, and usually screeners should be able to heal themselves easily. Immunity to Toxic is handy though.
Cresselia is bulky af but is the slowest of the four. Its bulk should allow it to get both screens up, but a fast mixed attacker with SE moves could beat it before it can finish. Lunar Dance is interesting but only useful in very specific circumstances.
Multiscale Lugia puts the Great Wall Of China to shame with its walling abilities. The non-multiscale version is slightly less impressive, but still is incredibly bulky, with higher defenses but lower HP than Cresselia. However it is restricted from many online competitions as well as battle facilities, and the multi scale version is difficult to obtain.
Xatu with Magic Bounce and screens is very difficult to crack. It has the added benefit of immunity to Taunt, Toxic, and other moves commonly used on Dual Screeners. Xatu also has a multitude of possibilities just by being on a team, as proper predicting can allow a skilled player to switch it in on various status moves to cripple the opponent. Unfortunately, it is defensively the weakest of the four and unlike the other three is far more likely to succumb to a SE move regardless of the screens.
Personally I'd recommend Lugia or Klefki. Lugia does everything Cresselia does better except Lunar Dance, and all of Lugia's stats are superior to Cresselia's except for HP. Xatu, while handy, might not have the bulk to survive.
Edit: Please disregard everything I said about Lugia as it is in Ubers. I had not read the OU specification in the first message.
For those who don't want to read all that, I recommend Klefki.