Yes, you can add the "$F" token in the OpenVDB file to insert the frame number. It uses the #### numbering format, for example, the file "fire_$F.vbd" is expanded as "fire_0023.vdb" in the frame 23.
Ah ok, I've never used VDB, so I should go learn about that then. Do you recommend any tutorials working with VDB in LightWave? Don't worry if not, I will have a hunt around.