Introduction
This tutorial outlines the considerations you will need to make if you want to take a model from Lightwave into Unreal Tournament 3 (UT3). At time of writing, there is no exporter to go directly from Lightwave to UT3, so you need to go via Blender. There is no tutorial here per se, just a series of considerations.
This tutorial goes directly onto the front of the Blender based tutorials:
Model Considerations
Use only one surface in your model
In Lightwave you may be tempted to break up parts of your model into different surfaces. Don't. Use only one surface and colour it something bland. In blender, you will make the UV maps, do the rigging and so on. If you do add surfaces to the model in Lightwave, it will import as separate models in Blender and you will not be able to import into UT3.
Note from Evilmatt: Blender can join separate objects into one object should you do this inadvertantly. The hotkey is Ctrl+J or is in the menu under Join Objects. This might screw up your origin depending on which is joined to which so you may have to reset that or be careful on ordering.
Triangularise your model
You can do this in Blender but if you are using Lightwave, you are probably better at controlling the result.
Do not rig the model
Blender will not accept Lightwave bones without a fight. The bones system in Blender is similar, follow the tutorial and do it once, hassle free.
Do not worry about size
You'll need to resize in Blender anyway.
Importing into Blender
Done simply as File->Import and then choose Lightwave LWO.