Do you save to DXF from a part file? In a SW drawing you can make and name layers, which I would assume would translate to the DXF. I know that sketching in a part sketch can be way easier than sketching on a drawing, but you could try putting the part with your sketches onto a drawing, make the layers in the drawing, and do a convert entities for each sketch onto the corresponding layer. Then save the drawing as DXF.
If that ends up working you can make a drawing template with the layers already in it and that would save some time.
Thank you, I will give that a shot and let you know.