I was looking into the topic of creating footprints from DXF files, and found a script at https://github.com/pandysong/dxf2kicad_mod. This Python script reads a DXF and converts it directly to a KiCad .kicad_mod file. It creates a polygon on the layer specified in the DXF (e.g. "F.Cu"). It works by looking for LINE and ARC entities and detecting a closed polygon. ARCs are decomposed into line segments.
Here is an example:
I fixed a couple of issues in the script, I will put an updated version on my github fork.