Freddy,
I haven't been a Lightwave user since about 1995, so any screenshots from me out of C4D or Maya might just be more confusing. However, Lightwave Guru pointed out that the same tag I mentioned is available in Lightwave. "> LW Node Editor for Octane > Octane Render Target > Environment DayLight > "
What matters is that you need the volumetric tools added to your scene. The Daylight tag is one way of including them directly in a light source, but that's not the only way. Using a Volume primitive will do the same thing in a slightly different workflow, and it can be used with any Octane light source.
I thought your original question was very specific to quickly knocking out some god rays from the sun over a city, but I'm guessing you should spend a little time digging into the more general idea and workflow of volumetric lighting in LW. Here's are a few threads that should at least set you on the path.
viewtopic.php?f=36&t=62563
viewtopic.php?f=36&t=53505&hilit=volumetric
viewtopic.php?f=36&t=59011&hilit=volumetric
Good luck!
- Frank