The short answer is yes, you will need to setup the stock thickness (depth of cut), tool diameters, feedrates etc in CamBam.
CamBam currently only reads in 2D dxf files. Any information such as depth will be lost when you export to DXF from your drawing program. CamBam can read in 3D files in 3DS or STL format, but to work with 3D shapes (meshes) in CamBam, you need to use the specific 3D machining operations (3D profile or bas reliefs).
For the 2D machining operations such as pocketing, profiling or engraving you must select 2D shapes. There is currently no automatic function to extract 'features' from 3D meshes for 2D machining...although there are some 3D slicing routines available that will allow this with an extra manual step.
There is a short video tutorial here:
Which should give you a very brief overview on the steps involved going from a drawing to producing g-code. This shows drawing within CamBam, but the concepts are the same if you import a drawing from a CAD file.
The documentation sections on getting started, simple examples and tutorials are another good way of getting into CamBam.
Entering in all the machining parameters can be a bit daunting and time consuming at first and I am working on ways to make this a bit more intuitive. However, CamBam supports a system of machining templates which allows you to define all the machining properties under a named template which will then be used as the defaults for the next new machining operation when that template is selected. This simplifies and speeds up the process considerably. I am working on some more video tutorials to describe this useful and often overlooked feature.
I hope this helps but if anything isn't clear, please ask away!