First, you have to configure LyX to use the pipe. Choose Tools → Preferences from LyX main menu. Open Paths page and enter some path (e.g. ~/.lyx/lyxpipe) into the LyXServer pipe text box.

Click Save to save the changes.

Choose Tools → Reconfigure to reconfigure LyX and restart it.

To add selected citations from bibliography files, open some document, place the cursor there you want to add a bibliography and select Insert → List / TOC → BibT_EX Bibliography... from the LyX main menu.

Press Add... then Browse.... Point LyX to a KBibTeX bib file. Click on Add then click on OK.

Then place the cursor where you want to add the citation and switch to KBibTeX window. Select elements in the element list and choose Element → Send to LyX/Kile or use Send to LyX/Kile element's context (right mouse button-click) menu item.

The citations will be inserted as a reference at the cursor position in the current LyX document.