Connect to a random SDF and save the added layer as a .layer file.
Note the structure of the XML content of that .layer file, it should look very familiar. It's a combination of the MapGuide Layer Definition and MapGuide Feature Source.
Now tweak the Feature Source part so that it points to your SDF file instead. Then download the MapGuide Layer Definition that is your themed layer (using MapGuide Studio or the mapagent interface), and replace the Layer Definition part of your .layer file with the content of your themed Layer Definition.
The pieces should fit nicely. Then to add this themed layer to your current DWG, just drag and drop the .layer file.
- Jackie