Hey Tim
There are only a handfull of players to have ever represented both sides in the "Derby della Capitale" and have been heavily criticesed for doing so by the supporters.
With the clubs being such fierce rivals the few players to have actually played for both Roma & Lazio have had to make the move via another club
However In terms of a direct transfer between the two clubs the only one I know of is Arne Selmosson who is the only player to have scored for both Lazio and Roma in the Derby spent moved in 1958 to Roma.
So its not a particularly modern example but thats the only example that I believe exists
Hope this helps
Puds