I know all too well about the lizard problem! Living in Arizona we have them ALL over the place! I have a catio that comes off of my bedroom window, plus we have a dog door for the the Senior Greyhound of the house, so even though the cats aren't technically allowed outside, we still get the occasional visitor. We came in the other day from shopping and as I walked by my bathroom I stopped dead in my tracks. There was a tailless lizard hanging out on my cushy rug that is infront of my sink. I don't know if he came in on his own or if he was brought in, but regardless, there he was, looking back at me. So we swiped him up and took him to the backyard and placed him in one of the plants that was covered (we had a cold spell pass through so most of our plants were covered and protected from the chill). We were both surprised to see him in the winter as well. We don't usually see them until spring time so we figured putting him with the covered plants would help to keep him warm, should he choose to stay there.
I also have experience with this as I used to live on a remote island, ontop of a hill, in the jungle of Thailand. We had two cats there and occasionally they would come strolling in with a giant gecko (Tokay) and there was NO WAY you could get me to take that thing away. Geckos in general aren't going to harm you, they are more scared of you then you are of them, but if they are cornered and frightened, they will bite, it does hurt (don't know from personal experience) and my understanding is that their mouths are dirty and you can catch an infection. We didn't like them catching the geckos since the geckos take care of other nasty critters that we didn't want around, we much rather they took care of the Cobras and Vipers. Here is a link to a YouTube clip on Tokays. We usually saw the baby ones all over the place, but I have seen some that are bigger then the one in this clip. Giant Gecko of Thailand - YouTube
So in short (cough, cough, ok that wasn't short) if I can get the lizard away and the lizard is alive, I do it. If the cat eats the lizard, ok, well, that's part of the circle of life. If the cat is trying to torment the poor thing, I take it away regardless of how bad it's hurt, no creature deserves to be tormented. So, it's up to you, how you feel about the whole thing, etc. If you know your kitty will eat it and you are ok with it, then ok. The only concern I have with them eating something wild is you don't know where it's been and because a LOT of people use poisons, I am so concerned that my kitty would be poisoned from consuming it. Read a horrible story about an owl that ate a mouse that had been poisoned and it killed the owl too, such a shame...there are other ways to rid your home, farm/etc of pests without poisoning everything else. Anyway, hope that helps.