There is no magic bullet for DXF and I certainly haven't heard of multipage support.
The best you can do is open a DXF as a part (no sketch solver req'd) and assembly the parts into an assembly.
Once assembled (-and- constrained!), you can merge one "part" with another "part". Now you have two DXF files in one part file. Merging is actually optional as you can make a drawing of the assembly, or insert multiple models. But if you must have multiple DXF files in a single part, you can do it this way (in case you need to do another export, perhaps).
When you create a drawing, you have many options. you can add parts and create views of each part on different sheets; you can use an assembly of the multiple parts and blank parts in views on different pages; and even with merged parts, you can assign layers to each DXF and manage view visibility using layers.
Of course, i am talking about Creo 2.0 but most of this functionality was available since Pro|E. Layers were a bit more cryptic back then, but if you know how to use them, it does work (I tried it!).
If I had my choice, I would use the multiple models in the drawing. Actually, I did something similar where there were 14 models in a single drawing. It was easier to managing views then using a single assembly.
As for the programmatic solution; I suspect you could mapkey the process but there are quite a few steps. Unless every "DXF-part" is assembled at 0,0,0 (Default), you need to create datums and assemble using constraints. You cannot Merge unless the part is somehow fully constrained (if you choose that route). Also, don't forget that all these "imports" tend to have a tie to the original file. Don't accidentally loose a reference file.
