I use a program called "highlight" to highlight the source code, and all this is done by adding an external template (insert -> external template)
In the file .lyx/external_templates I add Template CppKod GuiName "[C++ $$Basename]" HelpText Snyggar till C++ kod HelpTextEnd FileFilter "*" ViewCommand "nedit $$FName" EditCommand "nedit $$FName" AutomaticProduction true Format LaTeX Product "{\\small \\input{$$FName.tex} }" UpdateCommand "highlight -A -L -t 4 -I -S cpp -f -r -q $$FName -o $$FName.tex" UpdateResult "$$FName.tex" FormatEnd TemplateEnd and it works quite well for me. Dynamically also!