Rep001,
I don't think there is a way to directly add the geometry, so your pretty much stuck with what EWH suggests. It's really pretty simple and straight forward, although there's a couple of thingies I'd suggest.
These legacy files have been through a translation or two, so you'll likely want to clean up the geometry prior to importing it into a sketch. You might also want to set up a seed part, or otherwise customize a part file to use as the file to import all the dxf stuff into...
As such, here's what I'd do... I'd set the seed part up with a datm csys at absolute, the layering categories already set up, and prehaps another seed part set up on the drafting/drawing side to make things easier (such as using the sketch dimensions as the start of your detail dimensioning...).
As far as the nuts and bolts of the process goes...
Open the UG part
Import the dxf file
Add datums relative to the datm csys, but where you want the sketches to be...
Project the desired curves that you want to add to a sketch to the relative datm you just added
Clean up the curves a bit so that it all 'chains', as if you were going to change the curves color or make an extrusion out of it.
IF it chains, consider this geometry ready to import into a sketch
Create the sketch on the relative datm plane created, using one of the datm csys axis as the horizontal reference
Import the desired geometry
Add your geometric constraints
Add your dimensional constraints (preferable like it will be detailed *hint, hint*)
Finish creating your part
Regards,
SS
CAD should pay for itself, shouldn't it?