Two things you can do.
Lr Only Solution
This one's easy. NiK cannot be set to edit an existing image, so every new invocation yields a new file. This is nice because if you do something in the first adjustment that yields an issue in the third (i.e. over sharpening yields ugly halos with minor Structure enhancements) you can go back to the step before and try again. Use Lr's Stacking feature to group your interim files together and then delete them when your done. Or just delete them as you go along.
Lr & PS Solution
Since you said you have Photoshop you can do what I do. I import into Lightroom and do basic edits there before using Nik tools. How much I do will depend on the amount of high ISO noise - the higher the ISO, the less I do. If you want to do all your Lr edits after Dfine and Sharpener Pro then...
1. Open the image in Photoshop
2. Invoke Dfine which will create a new layer with the adjustment.
3. Invoke Sharpener Pro which will create a new layer with the adjustment.
4. Hit Ctrl-Alt-Shift-E (or Cmd-Opt-Shift-E on a Mac) to create a new layer from the previous layers without flattening (this allows for some level of opacity adjustment to any of the layers - otherwise just hit Ctrl/Cmd-J to duplicate the top layer).
5. In the Filter Menu choose Camera Raw Filter (this operates on the current layer and does not create a new one, which is why there's Step 4). This is exactly the same as Lightroom's develop module, though it's laid out in tabs and IMHO more difficult to navigate - particularly if you're used to Lr.
6. Do your edits as you would have in Lr.
This leaves you at the same point you would be at the end of your question above. Between step 4 & 5 above you can right-click on the new layer you created and convert it to a Smart Object. This is cool because it allows you to go back after doing the edit in Step 5 and change something. And if you invoke another Nik filter after Camera Raw it will stack it in the Smart Object and you can go back and change that filter too.
I find using the Ps engine to keep all my edits in a single file is much more convenient, even if you're not using any actual Ps features. That said, once you learn how to use layer opacity, masks and blending modes you can do so much more with what you get out of the NiK filters. One of the most revealing to me was when I used Silver Efex Pro to do a B&W conversion and then changed the Layer Blend Mode to Luminosity. Try it sometime.
