Hello,
Here are a few tips to close the gaps (you may have tried some of these already).
1) If possible try to get Parasolid files. If not possible STEP is fairly good, IGES is not the best choice.
2) For IGES files, when you open them in SolidWorks always save as Parasolid and open the Parasolid in SolidWorks. This step alone fixes several problems, like incorrect surface normals. Note that IGES is not the most robust format, and SolidWorks uses the Parasolid modelling kernel.
3)If possible get the customer to increase the accuracy of the IGES files that he sends you. SolidWorks likes 14 digits or more.
4) If you have gaps, select the imported feature with the Right Mouse Button then select Diagnosis, select Close All Gaps and Improve Geometry
5) If you still have gaps, try the Surface Fill command or the Delete Holes command. Surface Fill is excellent, and it is improved in SolidWorks 2003.
6) If you STILL have gaps, model a flat surface that covers all the area of the gap (it should extend). Trim surfaces. Now you have enclosed surfaces and you can knit them into one surface, and then thicken them into one solid.
7) If you have many gaps you may want to consider sketching a shape (e.g. rectangle, circle) and extruding to surface to get a solid. This may not be the exact shape that you want, but it might usable depending on your application.
Hope this helps...