Exporting the DXF from hamme and into MAX works, yes, but is exceptionally messy. You have to go in and remove all faces that are hidden, that would otherwise be automatically be ignored by source. You're much better off exporting the DXF and use it as a template. Also, having one large model as the entire map is obviously retarded.
As cashed said, you can also import the whole thing and build on top of it to get the desired layout in UDK. Just don't build too much detailed work (things that would be func_detail in source) as building blocks in UDK, as the desired workflow is base layout with bsp and details with meshes.
There are a lot of articles about this workflow, especially on Epic's own wiki.
You click on Build or type
make (or some equivalent), and you are astonished, then mortified, as you realize that the whole world is being
recompiled and relinked!
- Scott Meyers