Many 3D modeling / CAD tools support both DXF (CAD exchange) and FBX (Kaydara 3D data exchange) formats and as such may be able to help you with dxf to fbx conversion. Seems like the case of using 2D CAD data for making 3D models and you can find many resource sites or guides for this all over internet.
Open DXF file Open FBX fileAn FBX convertor utility from Autodesk
A 3D CAD translation software