You may "join" the individual gerber trace segments, and then export your DXF. Here's a tutorial movie showing those steps:
Note: During DXF or DWG export, you can also choose Fill Option "OUTLINE" which will merge and generate outline for any geometry boundaries.
Note: If you are using AutoCAD, we recommend exporting as a DWG instead of DXF. DWG is the binary version of DXF and is more compact and compatible with AutoCAD.