When exporting and when making the preview, why don't create a subdirectory in the document_name.lyx dir and put there the converted eps? (just like many web browsers do when saving a page)
I think the exported file should be: - if and only if my.eps is a converted file: \includegraphics[...]{document_name_images/my} - if the included file is already an eps file: \includegraphics[...]{original_path/my} Marco Morandini