ImageMagick is all you need. You can insert every picture format. ImageMagick will convert it automatically in the right format when you export the document.
ImageMagick will do it but when I started using LyX I found I had to configure the Converters.
-Edit>Preferences>Converters
-Select the from format, the to format and click "New"
-Then select the new entry from the list and fill in the "Converter:" field and hit modify. It should probably read "convert $$i $$o".
I had to do this for jpg and gif to eps.
Don't do that if you are using LyX 1.3.3 for windows!
Here's another question for everybody, I recently moved to 1.3.3, and now LyX won't display EPS images. Converting from jpg->eps and displaying works fine though. Any ideas on how to fix this?
Delete all converters you added manually. Self-defined converters were only necessary in LyXWin 1.3.2. This version had problems with the converters. Now the script 'convertDefault.sh' is used to convert the images in the right format. If you define your own converter, the script won't be used and you get problems to display images within LyX.
(but don't delete these predefined converters:
LaTeX->DVI, LaTeX->PDF, DVI->PDF, DVI->Postscript, LyXPreview->PPM,
LaTeX->LyX, NoWeb->LyX, EPS->PDF)
