Have you had a chance to look at the Fan Control FAQ yet? ( The topic title is a clickable link). It discusses at least one option which doesn’t require a neutral at the wall switch.
Some people have been able to put a micro in the fan canopy to control the lights, but it depends on the exact wiring. If the wall switch is going to cut the current to the micro, then it won’t work if you want to be able to turn the lights on when the fan is off.
@dalec did some set ups something like this before the Hampton Bay device was available, and might be able to say more.