A (late) follow-up on this:
I have got some good experience with an open-source Excel-Plugin named Excel2LaTeX. This plugin provides a toolbar button to convert the selected parts of an Excel table into LaTeX source code that can then either be saved into a file or into the clipboard.
I use this to "copy" tables from Excel into an empty LaTeX document and then import this document into a new LyX document. From there I use again copy and paste to copy the LyX table into the final document.
Works like a charm and also preserves much of the formattings (e.g. bold font headers).
Daniel
