Just wondering if I'm doing something wrong. I have my camera set up to make a Raw and a Jpeg of each picture, but when I import, only the RAW files appear.
There's an option in the Lightroom preferences (General tab) to treat JPEG images next to raw files as separate images. If you check that option then Lightroom will import the JPEG images as well as the raw images. If that option is not checked then Lightroom will not import the JPEG images. This gives you the option to decide whether or not you want to include the JPEG images in your Lightroom collection.
Jim is correct. Also, merely checking that option won't bring in the JPEGs that you're missing. To do so after you check the option, right click on the appropriate folder name in Lightroom's folder panel and choose to Synchronize the folder. (All future imports will bring in both the raw and JPG files.