I just beat Conquest last night, and I suggest using non-magic ranged attacks. The lancers can't counter stuff like Siegfried or javelins, they can't even counter arrows. Now, if you sent Niles in there to kill one, he might not come out alive, but it depends on your setup and pairings. Oh, and enemies can't counter if they're dead. It sounds obvious, but it's always nice to remember that if the attack you made kills the enemy, they won't be able to counter, so if you've got your attack stat high enough on Corrin or Keaton or whoever you please, then go ahead and one-shot to your heart's content.
I wasn't able to one-shot these guys, since they were pretty tanky, though.