Change selected lines between layers in kicad
Here is how I would do it. In the dxf file I'll make a reference shape out the board, like a small square and call it master dxf
Then I'll edit  and save as the dxf files and keep only margin lines, rename it board_margins.dxf and keep doing this for other layers.
Then import the dxf to it's layer. Here is where the square reference comes in handy to align all the layers. Make sure you dont change grid in between file imports.