When you are in a part, select the relevant plane or face which you want the DXF to be positioned, and navigate to Insert> DXF/DWG this will open a dialog box allowing you to navigate to the relevant file. click ok and then follow the usual DXF/DWg import wizard, this should then import the DXF file as a sketch on the chosen plane within the part.
When I go to Insert-DXF/DWG the selection is ghosted. Can anyone tell me why? Running 2018 Premium
As far as I know you CANNOT insert a dxf into a already existing sketch. If you try to insert one while editing a sketch the option under "Insert" -> "DXF/DWG..." will be grayed out/ghosted as Jason Lukacsko described.
The best workaround (cue eye roll) I know to get a dxf into a existing sketch (or multiple dxf's into the same sketch) is to insert your dxf's into separate sketches before the target existing sketch, then edit the target existing sketch, use "Convert Entities" ("Tools" -> "Sketch Tools" -> "Convert Entities") to bring over the elements from the inserted dxf's, and then make those elements editable again by deleting all their relations (*Select all converted lines* -> "Tools" -> "Relations" -> "Display/Delete" -> "Selected Entities" -> "Delete All").