There is no built-in SketchUp way. But can I suggest the Component Definition that is made by the Import process is given the original file location in its Description, immediately after it is added. This is a management matter, but at least you then have the path in SUp. Alternatively on the CAD side, before importing you could add the file's path as a piece of Mtext in Model-Space [perhaps on a Layer named MY_PATH ?] and then Explode it, then it is imported as edges into SUp...