The most convenient way to reliably convert DXF CAD files to SolidWorks formats (for example .slddrw) is to of course use SolidWorks. If you do not have access to the software, you will need to look for some 3rd party alternative that either has direct support for SolidWork drawings, or that have plugins to add support for SolidWorks.
Convert AutoCAD DXF Drawing Exchange Format to SolidWorks CAD drawing.
We found one software available in the database for this conversion.
Microsoft Windows software - convert dxf to slddrw on Windows
A 2D and 3D CAD construction software
Convert from dxf file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.