How to install bst files in Lyx?

Quoted from Dr. Paul Johnson's post:

To make the biblio work, you need a bibliography style file (a file
with a name like apsa2.bst).  You need to copy the bst file you want
into your LaTeX installation.  The bst file can
be copied under your system's bibtex configuration, which in my system
is

/usr/share/texmf/bibtex/bst/natbib

The shortcoming with that is that you might lose your customizations if
you upgrade your TeX installation. To prevent that, I maintain a
parallel customized directory here:

/usr/local/share/texmf/bibtex/bst/natbib

Assuming that your TeTeX is configured in the normal way, when you run
the command

 > texhash

the system will scan all of the configuration files and it will notice
you have added a bst file.