Lesson 4: Importing SDF Files as DWG Layers
You moved some DWG data to SDF format and from there to SHP format, so you can distribute it to people who use geospatial data.
You may need to move the data back into DWG format. For example, if other people change the data, you can re-import it so you have the latest version. When you import SHP or SDF files, they are added to your map as drawing objects, not as geospatial data.