No, you don't. ImageMagick does generally a terrible job of converting regular PDF files with text in vector formats like SVG; trying with the slide I wanted to import got me a 18 MB monster that took minutes to rasterize as every single character got converted into a curve; a lot of color information was also lost in the process. LaTeX, otoh, has quality inbuilt support for embedding PDFs.
Insert a graphic as usual (perhaps in its own float: Insert → Floating → Figure; Insert → Figure), then select the PDF file as your source, tweak the size to your needs (for example, set the width to 80% of text width) then switch to the "settings" tab. Here, you can specify which slide you want included. If you want page 24 of the PDF, write in:
page=24 in the LaTeX settings box. (Yes, the page numbering starts from 1.) Also disable the LyX preview, as LyX won't handle this setting and will instead show you page 1 for its preview.
Done!