The easiest way how to produce .sldasm assembly files from other CAD sources (including DWG) would be of course to use SolidWorks itself. If you do not have access to this commercial CAD software, you can always check some of the alternatives, including dedicated CAD translators and conversion programs.
Convert AutoCAD drawing to SolidWorks assembly data.
We have found 2 software records in our database eligible for .dwg to .sldasm file format conversion.
Microsoft Windows software - convert dwg to sldasm on Windows
A 2D and 3D CAD construction software
Convert from dwg file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned dwg to sldasm. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
A CAD converter with huge format support