Attached my demo files. The only improtant thing is that you have to use a full path for the included pdf.
sorry, the first file was wrong, here comes the right one.
Herbert
#LyX 1.3 created this file. For more info see http://www.lyx.org/ \lyxformat 221 \textclass book \begin_preamble \listfiles \usepackage{pdfpages} \end_preamble \language ngerman \inputencoding latin1 \fontscheme default \graphics default \paperfontsize 10 \spacing single \papersize Default \paperpackage a4 \use_geometry 0 \use_amsmath 1 \use_natbib 0 \use_numerical_citations 0 \paperorientation portrait \paperwidth 17cm \paperheight 22cm \leftmargin 1.2cm \topmargin 1.4cm \rightmargin 1.7cm \bottommargin 1.4cm \headsep 1cm \secnumdepth 4 \tocdepth 4 \paragraph_separation indent \defskip medskip \quotes_language german \quotes_times 1 \papercolumns 1 \papersides 2 \paperpagestyle default
\layout Chapter
blah
\layout Standard
blub
\layout Standard
\begin_inset Include \include{newfile6.lyx}
preview false
\end_inset
\layout Section
laber
\layout Standard
blubber
\layout Subsection
fasel
\layout Standard
blub
\the_end
