Just thought I'd put this up to try and save people time in the future.
You can convert from LSS project format (PGC2000.DAT) using the "File Conversion Utility" bundled with CX Programmer to CXT, then open with CX Programmer.
From what I had read I thought I was going to have to convert LSS to Syswin, then Syswin to CX Programmer.
Comments welcome if this is not entirely correct(?)