you can open an stl file in SW, no conversion needed. However the model will be listed as an STL Graphics type. Stl files take a triangular mesh of the surface of the part so you loose all solid data when exporting to a 3d plotter or other CAM application. PLY is a similar format where polygons are used as opposed to triangles in the mesh but i have not tried to open one of these in SW.
What do you need to do with the model once in SW? As far as i know you will only be able to view your stl object. No operations can be done to it and I do not know of any method to convert it to a usable solid.