Your sentence is perfect (in fact, it's past perfect!). You're talking about doing something in the past (buying tickets) that happened before something else in the past (the tickets selling out). And both "to" and "for" are the correct prepositions for "buying tickets."

Your sentence is very well constructed. 'To have bought' is called a perfect infinitive and it is used to refer to something that happened previous to the time reference of the previous verb, which in your example is 'was'. First I bought, then I was lucky. The reason we use an infintive here is the use of the adjective 'lucky'. Verbs which follow adjectives are usually in the infinitive form. 'I am happy to be here.' By using a perfect infinitive we change the time reference of the infintive. You can often replace the perfect infinitive with a clause. 'I was lucky that I bought the very last tickets'. 'Very last' means 'last remaining or final', so it works really well here to emphasize that after you bought yours there were no more tickets available.

How can that be lucky? You have probably a corner seat in the front row. The most unlucky seat I can think of.

It's perfectly correct! very = the tickets were not just amongst the last batch, but they were the very last. We need to say that in English. If I say "the last tickets", how many are the last tickets? Think about it!

I was lucky to have got the very last tickets for the movie this is more natural. using get makes it more direct also 'for' sounds better to me in this example as the preposition.