Hi Thomas,
you still can export your file to postscript and then use ps2pdf to
convert it: Add the folling line - as one line - to your LaTeX preamble

\usepackage[ps2pdf,pdftitle={the title of your document},pdfauthor={the
name of the
author},linkcolor=blue,linktocpage,colorlinks=true]{hyperref} 

where hyperref gives you links, linkcolor is the color of the links,
linktocpage guarantees that in the toc only the page numbers are links,
not the whole heading.

Be sure that you installed hyperref ...
Happy LyXing :-)

Stephan

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