Note that you can have Unity automate that process that Marco has outlined as well.
In your modeling package, create your three or four LOD levels of your model, with a naming conventions of “Model_LOD0”, “Model_LOD1”, etc (where “Model” can be whatever you want to call it). Group these models together (in Maya to do this, select all the LODs and hit Ctrl-G). Then rename that parent object as appropriate. So in Maya (as an example) I would have a hierarchy of:
Corridor
–Corridor_LOD0
–Corridor_LOD1
–Corridor_LOD2
–Corridor_LOD3
[Note that it is important that your freeze your transforms for each of the LODs, and that they all have the same origin point. Otherwise they will move around on your when you switch between LODs in-game. The parent object’s transform is unimportant, although I also like to keep it’s origin point the same as the individual model’s origin, and I usually will freeze it as well).
You then export the group (Corridor) as an fbx file. When you open up Unity, it will set up a group for you automatically with an LOD component on the parent object. Set up the import options on your new group as desired and pull it from your project panel into your scene. You then only need to adjust the percentages on the LOD bar to your liking, and make whatever changes you want (add a collider, audio source, whatever). Then drag that model back into your project panel to create a prefab, which you can then use to create multiple instances of your model over and over again.
Note that this gives you two items in your project folder, an import controller and a prefab. The import controller will have several items grouped under it, but you can’t set any of them, only the import settings on the parent object. The latter prefab object will also have a parent and several objects grouped under it (one for each LOD you made). I generally rename the former as “Model_Mesh”, just so I know that is my import settings item and I don’t accidentally grab it over my prefab. I also take both those groups and put them into a folder (e.g. Corridor) under my _Meshes folder, just to keep the clutter all organized (you may be able to tell by now I’m big on keeping things organized).
One last thing that I do that I could mention. If I’m going to add a component that is identical to all the LODs (e.g. I will often add a mesh collider to all four LODs where the collider mesh is the LOD3 [or whatever to lowest detail LOD happens to be]). Instead of adding that same component to all four LOD components of the prefab, I will add it to the parent object instead. I don’t know if that helps performance or not, but it helps to keep things tidy in my mind 
Doing it this way, I’ve never had a problem with the LODs. I can make changes in Maya to my models, and those changes (after an export) propagate into my prefabs just fine (and all instances of those prefabs). I’ve never had to rebuild any prefabs like Marco is talking about.
Hope that helps.