dwg to vsd conversion represent basically an effort to create a Visio drawing (.vsd) or diagram from vector graphics saved in AutoCAD format (.dwg).
You can convert CAD objects on individual layers into Visio shapes, and then modify or delete them. When you convert drawing from AutoCAD DWG or DXF format, you convert the last saved spatial view of the CAD drawing.
This can be done in Visio by right-clicking on the CAD drawing, pointing to CAD Drawing Object, and then clicking Convert. Just keep in mind that latest versions of MS Visio no longer can save in VSD format, so you would have to use some previous version for this.