This should always work:
\usepackage{textcomp}
For small letters use in LyX e.g. the command
\textcircled{w}
in ERT.
This one works in the figure caption
For larger letters use e.g.
\Large \textcircled{\normalsize\raisebox{-1.5pt}{W}}
in ERT.
But this one does not. I get a message:
"I've run across a `}' that doesn't seem to match anything.
For example, `\def\a#1{...}' and `\a}' would produce
this error. If you simply proceed now, the `\par' that
I've just inserted will cause me to report a runaway
argument that might be the root of the problem. But if
your `}' was spurious, just type `2' and it will go away"
Thanks
Leo