I have just produced .dxf files from .shp files using Surpac. The problem is that the final .dxf's are that huge in terms of memory that is really dificult to open the .dxf with any version of AutoCAD
Thanks very much
DXF files are huge: always have been, it the nature of "text only" format that is DXF (open it in MSWord and read it, it's quite enlightening how raw that DXF data is).
There is no way to get them smaller, it's a lousy format for your desire. You need an SHP to DWG converter instead: what are you using now to get the DXF? What exact version of AutoCAD are you using (Plain or a vertical)?
Consider importing your ESRI Shapefiles directly into AutoCAD with an add-on tool like MapWorks Base.