Lexan (polycarbonate sheet) actually machines pretty well, at least compared to most plastic. It doesn't melt onto the bit the way acrylic, for instance, does. Are you sure it's Lexan and not Lucite? How thick is the material you're trying to cut? Thin material is hard to hold onto; how are you mounting it to the bed? How deep are you cutting per pass? What sort of bit are you using, and how fast are the RPMs and feedrates you've tried? If you cut too slowly, it can cause the sort of problems you've noticed, as the bit will rub more than it cuts.