NewTek has an official tutorial that explains the basics.
When Unity asks for the location of Lightwave, point it to the root Lightwave folder (probably “Lightwave11.0”) not the /bin or any of the other subfolders.
Unity can seamlessly import animations from Lightwave, including from rigged and skinned models. This took me by surprise, as I was planning to bake the animations. Baking turned out to be unnecessary, as the automatic FBX export apparently handles it.