The LWO in question cannot be imported into Bryce because there are no faces, only vertices (just like the dynamic hair in Poser 5). The tutorial at newtek is to illustrate an application of HyperVoxels which are a type of metaobject (similar to a Metaball in Bryce) You could get a similar effect using Metaballs and Booleans, but Bryce has no scripting capability at this time so each asteroid would have to be done individually. Another possibility is to make an Lscript in Lightwave to generate randomly sized and placed spheres as a single object and then use displacement and bump maps. Also you could use Terrains in various orientations to generate facades of asteroids (less polygon intensive).