How is one able to harass and not recieve punishment for it? I try to harass with Wukong's Nimbus Strike, try to flee, but I take so much damage fleeting, it almost felt like a **** deal breaker.

One champion that's jack all with harassing:
Wukong

...Any ideas on how to harass efficiently?

With Wu, I generally walk up to the person, Q them, then Nimbus, and normally the back off, but if they come at you, just Decoy away.

Apart from that, Mundo cleavers are awesome harass.

you have to make them afraid of you so they run instead of attackgin you

But what if they have protectiles like Lux's Lucent Singulairty or Orianna's Command: Attack?

Lol. I never play wukong, but during the free week I got in range, get Q buff up, use E to dive, hit With the Q, then decoy away.