All of the Lightburn layers are defined by an RGB color. The easiest way to get what you want in the Lightburn DXF import is to design layers in AutoCAD with unique RGB colors that map correctly to the colors in LB. Do not create layers with entities that contain a mix of different colors. The easiest way to do so is creating entities that are colored by layer in AutoCAD.
You can also edit the layer names in Lightburn to correspond to your layer names in AutoCAD. The next time you import a DXF file into Lightburn, LB will map the colors from AutoCAD to the corresponding layer names you previously created.
Lightburn does not work with a line thickness via DXF. If you need line thickness in Lightburn, you might have to export a PDF from AutoCAD, and that can then lead to other issues.
See mapping below.