Recently, I came across this as an issue as well. The AutoCAD converter I had tried using didn't work out too well. But I was able to, after installing the latest version of Sketchup 8, export directly from Sketchup in the .obj format and import directly into Blender. Of course you have to remember to turn on the plugin in the User Preferences menu.
The exporting options, like the other answers have stated, don't tend to work out too well. The file loses translation in between programs. Merging layers and codes or omitting them altogether. I think the first time I tried using the .dae it turned a bracket into this weird spikey ball vector. So I don't recommend it.