In your slddrw use Convert Edges to create new entities. Place each set of Converted Edges on its own layer.
I've been tackling this myself for a while now. It's excruciatingly frustrating. But here's what I've figured out so far for DXF mapping:
1) Layer 0, when used, will always output white regardless of what colour you chose in the "define layers" box.
2) If you create a new layer, say "layer 1", and assign it a color, and then you map the geometry to that layer, it does not matter what you choose for "map colours" (on the far right hand side), it will stick with whatever colour you chose for the "define layers" box.
3) For sheet metal, when you choose "sketches" it apears to grab all of the geometry. I've tried making specific sketches that show score lines and whatnot, but unfortunately it takes the whole geometry and everything and puts that on the layer. And then I have to go in and delete things manually. Annoying.
4) "entities" are very limited... you pretty much only have geometry, sketches, bend lines, etc... so it does not appear to be easy to make specific sketches map to specific layers. You'd think a workaround would be to export the geometry on one layer, and all of the "visible" sketches to another layer... but I have not succeeded at doing that yet.
one way to solve all of this is to take the file into Rhino and manipulate with Grasshopper (the computational design features will come to SW eventually... but right now we just have to wait I guess).