The model-and-actress stars in 'The Imaginarium of Doctor Parnassus' - the movie the actor was working on when he died from an accidental drugs overdose last January - and admits that although she found it difficult working alongside his replacements, it was even harder for Colin Farrell, one of three stars who stepped into the role.
She said: "Colin was good friends with Heath so it started to feel like the right things to do. It honoured the work and effort Heath had put in for the last few months. But I remember just crying on the first day of doing it, because it was such a bizarre thing.
"It was strange for Colin too. You've lost a friend recently and you're having to look at clips of your friend's performance and mimic him. It was an incredibly brave and lovely thing for him to do and I think he found it an incredibly hard week."
Lily has been praised for her performance in the movie, and she credits the late star with helping boost her confidence.
She added to Britain's Harper's Bazaar magazine: "I was definitely intimidated at first. But I'd been very honest with Heath about how nervous I was. He was really sweet and said, 'I'm always nervous too.' I don't know if that was true, because he was obviously such a master of his craft. After that he was always checking in, telling me if he thought I'd done a scene well."