there are some settings when you go save as DXF click on options and change to polylines play with each of those to see if that helps.
when you are in illustrator, box select the individual elements and hit CTRL+J
that will join your individual line elements into one object.
The Join command in Illustrator should make these a closed shape.
for some reason the join command is about the only option i didnt try...
thanks a lot, you really helped me out.