Try doing an IGES translation or a STEP translation right from Desktop 5 or 6. If your model is 3 mb or less it should work OK. I have not had much luck using IGES translation on large models (18 mb for example), it just takes forever and eventually crashes.
Bear in mind that when you export only your model will reappear in solidworks. There will be no drawing information or files.It will only be a dumb solid, you wont be able to modify features anymore. Also if your model is an assembly, all your assembly contraints will dissapear.
In many cases its quicker to redraw the whole thing in solidworks than trying to translate it and fix up the resulting model.