That function is most useful in trusses, on which the geometry is way much easier to draw with AutoCAD. Do the following:
1.- Save your drawing in .DXF format. Remember the names of the layers where you have drawn the elements.
2.- Open ETABS and then do File-> Import -> DXF file or 3D model. The program will ask for the initialization file.
3.- On the DXF import window that will appear you will set the DXF units (they, of course, have to be consistent with the ETABS model) the layers on wich the element are drawn and the axis of AutoCAD wich you considered vertical direction. You can also set the default properties of the imported elements. That is optional because you will be able to assign the properties you want later.
Ant that is it! Your model should appear on the ETABS drawing space where you are able to modify, apply loads and analyze it.
Well, if you mean inclined SHELLS, yes it can import them. Note however that it will NOT design them as shear walls since it will consider those elements as a RAMPS.