As has been said. If it's an empty SKP then draw a temporary line so that each of the CAD files imports as a component containing the geometry [with its original CAD name] - without that temporary line an empty SKP will get the first imported CAD file's geometry put directly into the Model without it being put into a component 'wrapper').
Then you can Import the files as components, selecting to preserve their origin etc in the Options dialog. They should now all come into SUp at their original elevations and insertion-points. Note that if they are 'miles' from the SUp origin you might need to 'select-all' and relocate them nearer to [0,0,0] or you'll get visual weirdity - random clipping etc...