I don't understand exactly what you want to achieve, so there are two parts to this answer.
This technique will let you distribute all the pages of a PDF across as many pages as necessary of a LyX document. I don't know if it's possible to add notes within LyX next to each page/slide, for that purpose the other technique (see below) would be better, though it is more tedious.
Insert --> File --> External material, choose the PDF you want to include, and set the template to PDFPages
Go to the second tab, LaTeX and LyX options. Say you want to have three slides per page, then you can add the following in the Option box:
pages=-,nup=1x3,frame,delta=0 1cm,offset=-5cm 0,width=.8\linewidth
pages=- says to include all the pages in the PDF.
nup=1x3 says to organize the pages in 1 column and 3 rows per page.
frame draws a thin black frame around each slide.
delta=0 1cm adds space between each slide,
0 between columns (there is just one, so none is needed),
1cm between rows.
offset=-5cm 0 shifts all the slides 5cm to the left (negative x-direction). The default is to place the slides in the middle of the page, this pushes them to the left, making room for notes on the right.
width=.8\linewidth reduces the size of each slide a little.
The result would look something like this (three pages, with a total of nine slides):
Adding a single page from a PDF as a graphic
To add a specific page from a PDF, choose Insert --> Graphics or click the button on the toolbar, as usual when inserting images. Choose your PDF, go to the LaTeX and LyX options tab, and add
N is the page number, in the LaTeX options box:
You could for example use a two column (long)table or a pair of minipages to add notes next to the image(s).