As much fun as more damage is, you need to be good at dodging around and avoiding damage to make use of either of these stat-boosts though. So we should probably admit that Warding is still best for someone who just wants to beat the game, and work towards the achievements. But hey, if you want to go through again and feel just a bit more heavily armed, that's what this whole discussion is about. LOL
Well let's look at that;
On Expert mode warding on all 6 accessories grants and extra 24 defence, and 3/4 of that is 18, so 18 damage reduction.
Now the Worm scarf provides a flat out 17% damage reduction, so let's see how much damage would need to be deal for 18 damage to be reduced:
18/0.17= 105.8 rounded to 106.
So if an attack deals at least 106 damage then the Worm scarf is more effective, and in Expert all hardmode mobs deals way more than 100, even early hardmode mobs can deal upwards of 160.
So you could just use the worm scarf and not worry about warding.
Now back to Menacing and Lucky, I generally go for lucky but if I get Meancing first then I will stick with that.
I do believe Lucky is better for enemies with high defence and for lower damage weapons, let's look at Mille Marteaux's test;
The Spazmatism only has 20/28 defence, which means only 10/14 damage is reduced and when using the Snowman cannon those values are miniscule so both results were very close, but when tested with the chain gun which has a far lower base damage we saw that Lucky came out on top.
So in the end a mix of both is probably better, and it's not worth spending 2 platinum trying to reforge one to the other, if you only use fast firing low(ish) damage weapon then Lucky is the way to go, but if you use slower higher damaging weapons then Menacing might serve you better.