Can I somehow convert .odg files directly to .vsd format.
Converting OpenDocument Graphic Files directly to Microsoft Visio Drawings (.odg to .vsd conversion) is not too easy. You can use Apache's OpenOffice Draw or LibreOffice Draw to import MS Visio drawings (.vsd). You won't, however, be able to save your .odg drawings as .vsd files, since MS Visio doesn't support the .odg format.
You might try to first convert .odg to .svg format (Scalable Vector Graphics File), and import the resulting file to MS Visio.
Graphic editor for diagrams and simple graphics from OpenOffice.org suite
Graphic and diagram software from LibreOffice suite
A vector based diagramming software from Microsoft