Just to make things clear: if you march up to the gates of the city and challenge Lili, the Eagle Warriors will arrest you. If that's what you want, go for it, but I want to make sure there's no misunderstandings.
Madeline's not immediately sure what an easier way into the city would be right now. It'd be a bit different if Anna and Madeline were human, or they were entering a city full of anthro folk, but Madeline doesn't think sneaking would work as readily.
In which case, Aress and Rikku would have better luck sneaking in. Doesn't have to be pretending to be human, they can scamper across rooftops and around alleyways. After that, they can report back, maybe snatch a few supplies (and loot) along the way.