Just read "Using Sweave with LYX" by Yihui Xie, Gregor Gorjanc, and Jean-Marc Lasgouttes and have a couple of questions not answered in that brief document. And I have added the Sweave module to the prefix and reconfigured LyX. BTW, running LyX-2.1.3 on Slackware-14.1 here.
1.) When the document refers to the 'Chunk' environment I assume that's the LyX-code in the menu and is different from Insert -> TeX code (C-l on my system) which inserts the infamous ERT box. As a test, I opened a LaTeX box and inserted > str(b.cast) to produce the structure of that data.frame. Attempting to see if that worked brings me to the second question. Could not get a page preview with C-x p nor compile it with pdflatex. 2.) If the document suffix is supposed to be .Rnw rather than .lyx, how do I open the .Rnw version in LyX since the menu allows only files with the .lyx suffix? Rich