I don't believe there is an import function for DXFs in the PCB Library tool. I will typically just import the DXF into the PCB directly using the standard File>Import menu. Then once I have the DXF outlines on my PCB, I can copy and paste the associated primitives (from the imported DXF) to a new component in the PCB library, and finish my editing of the part directly in the PCB library editing tool. Hopefully that solution is sufficient for you.
Good luck.