mgx to dwg conversion is typically searched by users that own old drawings made using Micrografx Designer and are looking for a way to export these to standard DWG format.
This might be a little problematic nowadays as almost no modern software support .mgx files. Your best option might actually be to scour abandonware websites for Micrografx Designer (like here), install it via virtual machine and export your .mgx files to any exchange format that can be imported to tools that save to DWG format.
It is otherwise unlikely that you will find some conversion utility capable of this task.
Updated: September 1, 2023