I have all my images in OneDrive. I want to import them into Lightroom 5 and create smart previews. How do I do this without downloading all the images directly to my HDD? Can Lightroom reference those images directly from the server?
You can't organize them by Lightroom without downloading them to your computer because LR can manage only local files.
Make sure that you checked an option in your OneDrive settings to store offline copies of your images on your local PC.