Into PCB or schematic? I just imported a DWG into a PCB the other day using File > Import > DXF/DWG and it worked just fine. Just tried it again in both pcb and sch and it works just fine, except not with 2018 DWGs. 2013 works fine.
Be aware that the Altium importer doesn't properly support all DWG features, so things like associative arrays, blocks, and text may not be translated correctly. For best results, arrays and blocks should be exploded before importing. I think there are issues with polylines containing arcs as well, so it wouldn't hurt to explode everything down to basic primitives first.