You could do them using any of those methods. Since lamp chops are relatively small (I'm guessing you have an eight pack or something), you may be best using grill or broiler. Even with the largest skillet, that's going to be a fairly crowded pan.
Personally, I would use my Anova (sous vide) device and then finish them with a couple minute sear in either a hot iron skillet or on a grill.
As I age, I don't broil much anymore, unless it is for browning of a topping or something.