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
