Unwrap3d can convert obj files - although from memory it was losing some of the UV data (texture tiling).
Ah now that definitely rings a bell. I think that's because UnrealEd doesn't save the UV coords when you export to OBJ. Yeah, it's hardly worth the bother if you have to UV map the whole thing manually after reimporting into Lightwave. I don't know if UnrealEd can export the UV coords to any other formats though, but maybe someone else does.