"The value the read form the ADC is in Hex."

The value read from the ADC is a number - it's up to you to choose how you want to represent that number on your display!

So yes, you will need to write a routine which takes the number as input and produces the appropriate output to the LCD for the representation that you require - which could well be the ASCII characters for the digits in decimal notation.

Further Reading:
http://www.8052.com/forum/read.phtml?id=11223
http://www.8052.com/forum/read.phtml?id=15155
http://www.8052.com/forum/read.phtml?id=25456