Although a known issue (I think it is anyway) importing CAD drawings can be a pain in the ass! Problems can be minimized by using a CAD program to save all drawings as AutoCAD 2000 DWG's, but this wont mean things will run smoothly.
It's not uncommon for Visio to crash when importing CAD drawings. It also seems that Visio has some mechanism of checking how much work has been done since the last save. Using this data you can calculate the crash chance with NormalCrashChance * AmountOfWorkSinceLastSave^2. All joking aside. ALWAYS save all your work and stencils before importing CAD!
I also sometimes have problems when dragging shapes made from CAD from a stencil back into a drawing, I've converted them to shapes so there no longer CAD objects. I'm not sure if these are related or that CAD generated shapes are just prone to be more complicated and heavier on your system.
All in all, CAD importing isn't perfect (problems can be minimized with some preparation) but it's still a GREAT option to have!
- Lars