Though I have never tried there is an option in SWX, 2D to 3D. You can use it to create 3D parts from DXF and then assemble them.
Else, you can copy DXFs to a SWX drawing and then arrange them like you want. But in this case, you need to define line types on your own and may also want to add dimensions to make sketch constrained.
In my opinion, it's easy to create parts out of DXF and then make an assembly and then make an assembly drawing from SWX assembly
You can open DXF directly into SOLIDWORKS and then convert them either to solid parts (using 2d to 3d) or make them blocks and then can assemble them to simulate linkages.