Sorry, wrong attitude.
To the OP, depending on your versions, you can't do this in one step. With newer versions of CD, you will get your layers imported, and if you generally draw BYLAYER and plot by color, you can then easily select the contents of each layer and then apply an appropriate graphic style. With older versions of CD (or Essentials) you can make HPGL plot files, one per lineweight, and import them into Corel. They come in as a group to which you can apply a graphic style with the properties you want. With the latter process, remember to give yourself registration geometry for final sizing and alignment of your groups.
Hope this helps.