4
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Haskell, 163 142 133 bytes
p(x:r)|[a,b]<-p r=case[x]of"("->["(\\x->"++a++p b!!0,""];"."->['(':a++")",b];")"->[" x)",r];_->[x:a,b]
p r=[r,r]
f s=p('(':s++")")!!0
Try it on Ideone.
Ungolfed:
p('(':r)|(a,b)<-p r = ("(\\x->"++a++(fst(p b)),"")
p('.':r)|(a,b)<-p r = ('(':a++")", b)...