Converting SMILES to .sdf files
Datawarrior lets you do it.
Export a csv sheet with two columns: The name of the compound and its SMILES code.
Be sure to use a comma as a delimiter.
Your output file, opened with a text editor, should look like this:

Name,SMILES
Hexazine,n1nnnnn1
Furazan,c1nonc1
Benzisoxazole,c1noc2c1cccc2


From DataWarrior, File>Open and open your file.
Structures are automatically generated from SMILES codes.

Then, File>Save Special>SD-File, and you are done.