LyX ⇒ Create PDF on Mac without Duplicate -> Save As

[Thimsim]

I'm using LyX 2.0.3 on Mac OS X Lion and have trouble creating PDFs without a hassle.
Hitting "View" generates a PDF that is opened in Preview as expected. However, the file is nowhere to be found after Preview is closed. This means that to have a permanent PDF, I have to hit "View" then select "Duplicate" and then save that copy manually. Not very practical
There must be an easier way, as for LaTeX where you compile and get a PDF in the same directory...
Please help!