I've tried/done it several times. the problem I had was that when I tried to extrude I got errors about .. I think it was shared corners?
anyhow, last time I did it, while I was opening the dxf to a part, it offers to choose the distance between points for solidworks to consider joined. I chose 0.1", and all of a sudden it extruded fine.
in my circuit software (Orcad layout as it were), I only leave onscreen the layer that has actual circles for the holes, and I temporariry create a board outline in that layer. so when I extrude, I SW has an outline to use, and I get a board with holes.
If you also want your silkscreen to show, you'd have to bring it in seperately (with an outline) and mate it, otherwise the component outlines would be cut out of the board.
BTW, when I did this last, my xy dimensions were perfect, but all my hole diameters were 1/2 what they should be?? anybody hit this?
helen