I've been using Lightroom since V1.0 was launched along with DXO and CS2. I really like Lightroom for it's workflow/processing capabilities and its ability to pass files to CS2/CS3 and back again.
I also really like DXO, but this doesn't fit into the workflow so conveniently. I don't pass all files through DXO, only those special ones that would benefit from the DXO treatment. Like you, I wouldn't give it up so my workflow for DXO processed files is something like this:
1. Import into Lightroom from memory card.
2. View, sort, rate, reject etc. in Lightroom.
3. Note the RAW files to be processed by DXO.
4. Open DXO, pick up RAW files and process.
5. Import resulting TIFF back into Lightroom.
6. Use Lightroom for any additional processing.
7. Pass to CS2 for any selective processing/USM etc.
Obviously where DXO is not required, steps 3 to 5 are omitted.
It's not as sleek as I would like, but it's not as bad as it sounds.
There may be better ways (using DXO as one of the external editors to L/R?) but I have yet to try them.
I hope it helps.
Mark