I think you're talking apples and oranges.
.dxf is an actual graphic files (Drawing Exchange Format). It can put graphics directly into .dwg.
.shp is a shapes definition file. It talks to ACAD to tell it how to make shapes.
I could be missing something, though. Post to Forums > Engineering Computer Programs > General Engineering Programs
Autodesk: AutoCAD Forum, those folks are great with these types of things.
Signature under construction, sorry about the mess - Steve