Importing dxf and reference drawings

I often need to import a dxf drawing into a custom dwg format sheet. Only way I have found so far is to open the file, save as a dwg file, and then import it into the drawing as a reference file. The problem then is how to save the reference file into the main file, so that it becomes independent of the reference file; I need to be able to see the complete drawing without the need of also having the reference file available. How is this done?