Hi all, Rob here - a new forum user.
I was involved in the development of CircuitWorks a few years back, and just to echo what Cirilo's said above, using CircuitWorks to read IDF files would have the advantage of giving you properly editable solid models in SolidWorks rather than surface data from VRML.
There are two versions of CircuitWorks in SolidWorks - the full product which was only in SolidWorks Premium and above, and CircuitWorks Lite which is in all flavors of SolidWorks. So every SolidWorks user will at least have the Lite version.
There are a few differences between the two tools; CircuitWorks creates assemblies, and can use a component library and hence can create detailed models. CircuitWorks Lite creates a single part file with extrusions representing the components. As a result you'll get a less detailed model, but one that's ideal for checking space constraints or performing thermal analysis.
To use CircuitWorks Lite, you need to select 'IDF' in the 'Files of type' drop-down in the SolidWorks File > Open dialog. Don't forget that IDF files are two files on disk, so you'll need both parts of the file saved in the same folder with the same name but different suffixes. E.g. circuitboard.emn / circuitboard.emp.
Full CircuitWorks for SolidWorks Premium users is a separate Add-In - you'll have to enable it under Tools > Addins in SolidWorks.
I now work for Autodesk rather than SolidWorks, and we've been working on an online ECAD to MCAD tool called ecad.io (www.ecad.io). It'll read IDF and can output STEP, so this might also be an option (and we'd certainly value the feedback if anybody fancies giving it a try!).