Well, if you're running a squashfs install I would not recommend putting it in preinit, because preinit is run from the squashfs filesystem before the jffs filesystem (the one containing the files you edit) is remounted as the root partition, so you'd have to change the ROM image and reflash to make the appropriate changes in preinit.
You could put it in each individual /etc/init.d/S* script that you want it in (i.e. the startup scripts for the programs that you want to run from the SD card). Or, if you want it automatically everywhere, you can put it in /etc/init.d/rcS somewhere before the 'for' loop that runs the rest of the init scripts. If you do this, though, any errors in your modification could prevent all the services from starting (including telnet/ssh) so you'd have to reboot in failsafe mode and fix your changes (see the Wiki on how to do this).
Remember to also do 'export LD_LIBRARY_PATH' in the init script, otherwise the variable will not be made available to any programs/scripts that the init script runs.
Also note that if you choose to put it in each individual /etc/init.d/S* script that you need it in, you won't be able to confirm this setting by logging in and testing it in the shell... because the shell itself is launched from either the telnet or ssh daemons, which are themselves run from one of the init scripts. But if you put it in rcS, you will see the setting in the shell when you log in, because the telnet/ssh daemons will inherit the exported variable from rcS.