Welcome to SW forums Ivan
Layers doesn't work in part or assembly mode but only in drawings. So you have two options here:
1 Create the DXF from part and then set up up the layers by editing the DXF file (you can use a free software Draftsight for it)
2 Create the desired layers in the drawing and sketch the required sketches on each layer. Finally save as DXF.
Also read this post for your future reference: Forum Posting
Thanks a lot for the direction. I was getting really frustrated, but Draftsight did what I wanted and was very easy/intuitive.
Welcome to the forum.
I concurr with what Deepak said. Layers cannot be setup in parts and assemblies.
Better off bringing in your sketches into a drawing and setting up your layers there.
Just as another suggestion you might want to look into configurations. One for
each sketch. See if that brings something to the table that might work for you in your