You could certainly import a DXF into the Symbol library to create a comment symbol to use. Then, using the Symbols tab, just drag-n-drop the symbol into the diagram. If you place it on an object that it is to be associated with (i.e. a note to a connector) when inserting, it will move with the connector without having to be associated via the library.
Let me know if you need more examples or want to discuss.
Please promote IDEA D5695 - The ability to import dxf.filen directly in XC