Hi Mike, I've been experimenting with this too (also using LW 9+) but there are a few problems...
First of all there aren't much plugins around for LW that allows it to import model from games. Plugins are usually for 3DSMax and Zmodeler. There is a work around however; I used 3DSimED to export models from games (NFS shift for example). 3DSimED can handle loads of file types so no problems there. From 3DSimED I then exported a model into 3ds files which are used by 3DSMax. So far all went well. In 3DSMax you can then export to .obj files which lightwave can read. But now we stumble upon the biggest problem with LW; the in-ability to import normal maps in a proper way. As most games use normal maps to add detail to their models you can see how that creates a problem. I've been looking for a plugin that sorts this out but sofar no luck.