The floral inlay on the pink quilted maple guitar is awesome work.
I use the LW .stl plugin all the time, it works great. I also import .dxf's into LW quite often. What you need to be aware of, is that .dxf's can contain many different types of entities. LW can't use a lot of those entities. This is especially true with 2D .dxf's. I just did a quick test, and the only 2D entity LW would import from AutoCAD was a circle, which imported as a curve in LW.
Here's a suggestion to get a good .dxf from Illustrator. Download Inkscape, and export from Illustrator in a vector format that Inkscape can read. Maybe SVG? Download the Inkscape v12 dxf exporter (written by a member here), and export your design as a .dxf.
http://mydxf.blogspot.com/2008/11/inkscape-r12-dxf.html
But actually, I think Cut2D can read .eps files, so going that route from Illustrator would be your best bet. Download the Cut2D demo and see if it'll load your stuff.
AlphaCAM is huge money, with a steep learning curve. I use it at work. For what you need to do, the cheaper programs will do the same thing. There's a lot of stuff I can do faster at home with cheap software than I can do at work with AlphaCAM.