Not sure which approach you are trying but this is what we do and it works without any problems.

Open a blank solidworks drawing template(preferably the same size as the drawing you are trying to import)

Then go to Insert-DXF/DWG

Follow the dialog screen information then click "Finish"

The advantage to this method apposed to others it that it places all the AutoCAD entities into a drawing view which can be easily moved around.