Not sure what you mean by "lines," but you can find special Roman Numeral characters in the Character Palette (Edit > Special Characters), View = Code Tables, Tab = Unicode, Row = 00002150 Number Forms, 2160 and up.
I found what you suggested, but these are (or at least very much seem to be) the same characters like just typing the letters (VI, X, etc).
The difference is that the number forms are single characters. Ⅷ is one character and not 4 , like VIII.
What I meant with lines is something like this: http://www.lernumgebung.ch/Mittelstufe%2056/56uebungen/56muu/5MU026/romannumbers .jpg
I don't see any font on my system which includes lines like that in the number form characters, and I don't think there is any way to add them to the Latin version. To get the lines you would probably need to make a custom number forms font or do it via graphics.