You need a drill tape more than the drill layer, and the only way to do that is to add parts or vias. This will get you the drill layer too.
If you can, align the dxf files so the holes are on a grid to make this easy on yourself.
Create a single pin part or two with the right sized holes, and just place them where they belong.
You can add vias too, but I think you need to have at least one net for that to work. Adding vias is easier than adding parts if it's setup right.
If there isn't a uniform grid, and exact hole placement is critical, you need to select the circles from DXF, find the coordinates from the property menu, and place the part accordingly.