How can I insert dwg/dxf files into building structure and file set to enable tracing at different floor levels.

Do I have to open them individually and save as ndw.files ?
Or is it possible to import directly into the file set? I have a 5 (five) floor plus foundations building as a college project, where I have to make a 3D model from the 2D drawings.

I can do it in Solidworks, but wish to try it in Allplan 2015 (student)

many thanks, Neil