Ok. So. CarlosB's fix only seems to work sometimes. But. After a bit more testing. I.E. Repairing disk permissions with Onyx (as suggested) and testing exactly which order of deleting finder preference files was actually working for me, I've determined that these are the exact steps which seem to allow OSX 10.7.1 Lion to generate image preview icons in the Finder for SONY's dSLR camera's .ARW raw files. (Note that repairing permissions with Onyx didn't seem to make a difference)
Step 1. click on the "Go" menu in the Finder.
Step 2. hold down the "alt/option" key on your keyboard.
Step 3. click on "Library".
Step 4. Navigate to the "Preferences" folder.
Step 5. Drag the two files "com.apple.finder.plist" and "com.apple.finder.plist.lockfile" to the Desktop. *Note that you can't always simply drag these files to the Trash, as they are usually "in use".
Step 6. Go to the Apple Menu "" and click "Log Out" (not Restart) (Restarting doesn't work)
Step 7. Log back in.
Step 8. Change a Finder preference! This seems to be the trick. Perhaps it forces the Finder to write data to that preference file. An easy Finder preference to change is as follows: Go to the Desktop and click the "View" menu and then click on "Show View Options". Now change the icon size of icons on the desktop.
Step 9. Now navigate to a folder that contains .ARW files. The Finder should now be able to show icon previews of your .ARW files!
Step 10. Enjoy, but know that this functionality will be lost the next time you Restart!
Is it a bug in Lion? Yes.
Does installing Apple's Camera Raw 3.8 (found here) fix the problem? No.
Do we have to wait until Apple fixes the bug for us? No. (we just have to follow the above steps anytime we have critical .ARW files that we need to see the preview icons for!)
Fun stuff.