I don't know if fig_copy.sh is supposed to handle the example I am attaching here, but I can't make it work neither in 1.4.2 nor in 1.5.0 (the picture dosn't show in the dvi output).
Under linux, using lyx -dbg graphics, I can see that the figure is converted by convertDefault.py, and displayed (dvi/ps/pdf) correctly. If your convert.exe is working, what is the result of convert fig:rose.fig ppm:rose.ppm? Is it possible that you need to install xfig to convert? Bo