Thanks for the tips! I have tried different formats with simple model and so far I have been able to import 3ds- and obj-formats quite ok. It seems that 3ds are at least the doubble the size when I export them from Sketchup. Now the biggest obj-file that I have been able to import to Blender has been around 10 MB. With bigger files I always get memory problems. Have you also tried to import Collada-format? In Blenderartist Forum some people have had some success with Collada.
Anyway, at least I know that I can import part of my models, so maybe it is time to start learning Blender too. Anyway, I have feeling that Blender will never replace Sketchup in my workflow but for simple animations it could be something.
If you still run some import test please share the results.