Hi,
I know that LazyCam has some limitations and that it seems to be fairly low priority in the Mach scheme but as an alternative, no one yet has mentioned Cam Bam,
http://www.cambam.co.uk It works extremely well at importing DXF files and it is very easy to re-order entities. There is a free version but I am not totally sure of what the differences are between that and the licensed version.
It is also good for actually drawing your parts too. I know that Andy at CamBam is working on some 3D functionality too.
Just a thought.
Mike