With the kind help of Duncan Murdoch, I finally managed to correctly compile LyX-Sweave documents with XeTeX under Windows. In case someone else is struggling with a similar problem in the future, here is a small summary of what worked for me. I assume that you have already set up Lyx to work with Sweave and XeTeX according to the following instructions:
http://cran.r-project.org/contrib/extra/lyx/INSTALL
http://wiki.lyx.org/LyX/XeTeX

My original problem was that accented letters that were read from Excel-files or other external sources from within R during the LyX-Sweave document compilation were not correctly encoded in UTF-8. However, UTF-8 is needed for typsetting the final document with XeTeX.

Because R code chunks contained in the Lyx-Sweave document were executed by running R from the command line, it was necessary to start R with UTF-8 encoding from the command line. I managed to do this by editing the Sweave.sh file which can be found in rhome/bin/ directory. Within sweave.sh, I changed the command

echo "library(\"utils\"); Sweave(\"file.Rnw\")" | R --no-restore --slave

into

echo "library(\"utils\"); options(encoding=\"UTF-8\"); Sweave(\"file.Rnw\")" | R --no-restore --slave

Because I wanted to run R with UTF-8 encoding only when I compile my documents with XeTeX and not with LaTeX, I saved the Sweave.sh file with the new name UTF8Sweave.sh in the same directory and changed the definition for the conversion of Lyx-Sweave documents to PDF (xelatex). I did this by defining a new file format in LyX under Tools->Preferences->File handling->File formats. The file format that I defined had the same settings as LaTeX (pdflatex), but I saved it with the new name LaTeX (pdflatexUTF8). I then defined a new converter under Tools->Preferences->File handling->File formats with the following settings:
From format: Sweave
To format: LaTex (pdflatexUTF8)
Converter: R CMD /path/to/UTF8Sweave.sh $$i

Because the full path to UTF8Sweave.sh file contained blanks, I had to use the 8.3 filename which I determined by using the MSDOS cmd window. See this post for more information:
http://article.gmane.org/gmane.comp.lang.r.general/190040

Finally, I changed the converter LaTeX (pdflatex) -> PDF(xelatex) which I had already defined for the original LyX-XeTeX installation(see http://wiki.lyx.org/LyX/XeTeX) to LaTeX (pdflatexUTF8) -> PDF(xelatex).

I hope this helps.

Regards,
Erich

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