First post in a while.
SolidWorks Imports Parametric 3d cad data just fine Kirby.
SolidWorks is not really a reverse engineering solution to import point cloud or polygon data. SolidWorks did create the Scanto3d module to work with point and polygon data. You need Premium to enable this add in. If you have that, use it. If not, you may want to do some research on reverse engineering.
If you do not have this add in, I ask you, what do you want to do with this scan data or polygon model? Create a nurbs model from it? Use it as reference geometry? If you are planning on going from points, to polys, to nurbs, you have some work ahead of you.
Also, a 3d dxf is the worst choice of file format for SolidWorks. You will have a tough time gettting this in. If you have poly's you'll want to import STL, but you can't import more than 100K triangles, and the data is heavy and cumbersome on the package, so it's not of much use. SolidWorks is not a polygon modeler. You can import IGES polys, or points as sketch entities. That may be your best format.
You can also convert your data into tab delim and use this import macro
That is probably your best bet to start.
rfus