To use a "package", you must tell the compiler about it explicitly. Unbound module in OCaml usually means one of two things: your made a typo of the module name, or you failed to set a proper module search path. What compiler options do you use?
If you use ocamlfind, the compilation should look like:
ocamlfind ocamlc -package lwt -c mymodule.ml
this instructs the compiler to try to find modules in lwt package installation directory, in addition to the default ones.
if you do not use ocamlfind.... well, use ocamlfind.