(Disclaimer): This is what you can do on SWPDM Professional. I don't know if it works the same on Standard.
You have to paste the file as a reference on the parent drawing or part/assembly.
First copy the dxf to the clipboard.
Then with the parent checked out right click on it and select "Paste as Reference".
Now when I check out the drawing it allows me to check out the part or the PDF I attached to it.
Thank you vary much for your explanation. I know for this kind of method for each file separately. But I meant, is there a way for them be connected with reference after you export a file from sheet metal immediately . The thing is,there is a lot of sheet metal parts, and it is a huge amount of work to past with reference each file separately.