Looking at the documention of the Hollywood class (Extended.lyx) 
I saw the following:

  Always preview the script to find where to insert page breaks. Speakers' lines
  should NEVER break in mid-sentence. If a speaker's lines continue over a page
  break, repeat the Speaker title followed by (Cont'd).

This is really bad: you need to do a lot manual formatting, which is
against the philosophy of LyX/LaTex. This should be fixed, namely all the
pagebreaks should be inserted automatically, with repetition of the speaker
name, if needed. This can be achieved by either:

1. Creating a more clever hollywood.cls. However, I have no idea how to do
it, or if it can be done. You may try asking TeX experts about this. 

2. Create a preprocessing script that takes a Latex file without
pagebreaks, inserts the necessary pagebreaks, and then run latex on the
modified file.

or 

3. Create a script that takes a Latex file, does the formatting of the text
itself (which is very simple as the font is fixed width), and then generates
a postscript file (e.g. with enscript).

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