Indeed,
It's enough to put "\usepackage{hyperref}" in the preamble.
and if you wish to add color, for example:
\usepackage{hyperref} \hypersetup{colorlinks=true,citecolor=blue} yields nice results.I've added something about this to the Wiki: http://wiki.lyx.org/BibTeX/Tips#toc6
With many thanks to Richard and Bob, -- Christian