I also had a Lung Function Test and Chest Xray early on in my diagnosis. Im sure Rheumatology Departments vary from hospital to hospital in what is standard practice but it sounds like your one is being very thorough which is great. It also gives you baseline information to measure any changes that might happen down the road.
The only other reason I can think that they would order it is if you were complaining of shortness of breath or had a blood gas analysis test (this is taken from the radial artery near the wrist and you would probably remember it if you got it done). This blood test can determine the oxygen levels in the blood.
I think you should be prepared for lots of tests to come. As Sara says, its best to take whatever tests they offer. It gives you a good foundation for moving forward.
I am amazed was just about to do a search on this test when I saw this thread, I have the Lung Function test due 12/09 (only taken 4 months to organise!)
Anyway, after being plagued with shortness of breath on and off for years with chest x-rays always coming back clear I really feel positive that this is a step in the right direction in them working out what is going on!