I think there are several independent problems.

1. In my environment (MiKTeX  2.6 and 2.7), platex isn't able to compile the
preview files.

Changing the file lyxpreview2bitmap.py (line 153) from
    latex = find_exe_or_terminate(["pplatex", "platex", "latex2e", "latex"],
path)
to
    latex = find_exe_or_terminate(["latex"], path)

did the trick. Just renaming platex.exe to _platex.exe (or just deleting it)
would enable LyX to support instant previews in my environment aswell.

After these changes, LyX was able to show the previews in small sample
files.

Okay, I switched back to my thesis and started working on it. Again, the
previews didn't show up. That lead to the second problem:

2. The use of the package pdflatex in the preamble isn't supported. With
that package in the preamble the lyxpreview2bitmap.py script only generates
pdf-files but no dvi-files. So, that was just some settings problem of my
thesis.

After some changes, I stumpbled over the third (and finally last) problem:

3. If you define some macros or other static stuff in an external lyx file,
the macros seem to be not included in the preview file. The fact is that I
had to copy the content of my header.lyx file into the main.lyx file. After
that everything worked fine.

Maybe some of these hints should be put into the wiki, what do you think?

I have two other request aswell:

1. Is it possible to generate previews for ERT-insets? It would be great if
we could configure single insets to be rendered as preview. I am asking, as
the support for trees in LyX is not the best, yet. I print some trees using
something like

\Tree { &         && \K{+} \B{dll} \B{drr}           \\
        &\K{$\cdot$}\B{dl}\B{dr}&&       &       &\K{$\cdot$} \B{dl}
\B{dr}      \\
\K{2}   &                 & \K{$a$} && \K{3} &       & \K{$\mathcircumflex$}
\B{dl} \B{dr} \\
        &                 &       &&       & \K{$b$}
&                        & \K{2}}

And have to render my >100 pages document each time to have a look if I
entered anything correctly (what I usually don't in the first approach).

2. Is it possible to mark a part of my file to be collapsible and
expandable? I would like to have my header (which now is not in an external
file) on top of my file but collapsed. I am looking for the "region-feature"
in visual studio. There you can define regions that become collapsible. I
think that would be a great feature!

Thanks again, have a nice weekend and best regards
Dominik

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