One problem with the the first option (Tools, preferences) is that, supposedly, there should be no spaces before or after the m-dash, but the moment you enter a space after the dash thus inserted it reverts back to the two hyphens. The problem with the second option (Insert, Special characters) is "too many steps."
The workaround that works for me is to just type two hyphens, and when you are done with your document, do a Edit, Find and replace. Find: -- ; Replace with: alt+0151. Replace all.
Alternatively, if you have the preference already selected, you can do the same: at the end, find and replace all "— " (m-dash followed by space) with "—" (without the space).