It seems that the only way to reliably export .dwfx files (Autodesk Design Web Format) to other appropriate formats, including possible dwfx to step conversion, is to use one of the Autodesk's own programs, such as Inventor or AutoCAD.
Unfortunately, we do not have information about any 3rd party app that would support export of .dwfx files, so this looks like your only option how to convert dwfx to step.