Embedding asymptote in LyX

Hello!

I am trying to embed Asymptote in LyX documents.

I am following this tutorial:
http://www.dse.nl/~dario/projects/asylatex/asylatex.pdf

I am doing everything as suggested:
* I have included \usepackage{asymptote} and
\usepackage[pdftex]{graphicx} in the LaTeX preamble
* I have done Crtl-L in the middle of the document and added this LaTeX
code:

\begin{figure}
\centering
\begin{asy}
size (3cm);
draw (unitcircle);
\end{asy}
\caption{Embedded Asymptote figures are easy!}
\label{fig:embedded}
\end{figure}

When I generate the document (using pdflatex), I get nothing special: a
"figure" with "PDF" written there, but no image (no "unitcircle")...
when I do the same, but with DVI, I get "EPS" written instead of the
unitcircle. Either way, I don't see any picture...

I have a new version of Asymptote: 1.18 - so it should work
automatically with pdflatex.

Any ideas?
Maybe I should ask a different list?