The part looks simple enough to me to just model rather than trying to fight with the cmm output, which is pretty useless in my opinion. Have you looked the DXF files? Yuck!
I would recommend using calipers and gage pins to make good measurements and build a nice parametric model.
I agree with Robert, it would be a lot easier to measure this part by hand and recreate it, but I guess you have a reason to CMM it and try to recreate it.
I opened the DXF files in Design X
From Design X, I exported the points as an ASC file (text with x,y,z locations for each point)
In SolidWorks you can activate the Scanto3d add-in, this allows the import of ASC files. Scanto3D had to be purchased in earlier versions of the software, but I think it is included with newer releases.
What can be done with ASC files in SolidWorks? Not a lot.
But, you could rename the ASC extension to TXT. Now you can use the Scanto3D tools called Mesh Prep Wizard and Curve Wizard to work with the data.
I think the data is poor, but if you did the measurements, you might have a better sense of what and where everything belongs.
Another option if you don't have the Scanto3D add-in is to insert a curve through reference points. Just browse for the text files created above. SolidWorks will create a spline that passes through all the points... Again, not super useful, but it can help to see the overall shape.
Attached are screenshots of the results, and the text files with point locations if you want to give it a try.
You should be able to clean up the point files and generate better splines. It looks like the points represent many different areas at once.