Is there a way other than WKT to insert geometry to SQL Server?
Microsoft doesn't support input from foreign formats. However, you can use GDAL's ogr2ogr to convert foreign formats representing Simple Features to a MSSQL import

DGN is supported by the opensource GDAL

DWG requires building against Teigha which while open source is not, afaik, free. However, they provide a File Converter. You can find more information about Teigha fiasco/political situation here, but there is explicit mention of support with Teigha in the GDAL docs,

OGR supports reading most versions of AutoCAD DWG when built with the Open Design Alliance Teiga library. DWG is an binary working format used for AutoCAD drawings. A reasonable effort has been made to make the OGR DWG driver work similarly to the OGR DXF driver which shares a common data model. The entire contents of the .dwg file is represented as a single layer named &quot;entities&quot;.



More info:

Formats GDAL supports our of the box here
Download a copy of GDAL for proprietary overpriced operating systems here.

To ease upgrading in the future to Ubuntu, you can install ogr2ogr with only
sudo apt-get install gdal-bin