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I'm afraid there's no way around it.
I submitted an enhancment request for this a long time ago-back in Solidworks 2006. When 2007 was in beta, it looked like it was implemented for maybe 1 version but has since dissolved back into the aether.
You can do it with an API using LengthUnit. See the help for an example.
Are you importing DXF as drawing or part files.