The original DirectX SDK tool meshconvert imported from legacy .X files and produced .sdkmesh files.

The meshconvert sample currently supports importing from Wavefront OBJ and VBO files, and can export VBO, CMO, and SDKMESH.

Ideally it would also support importing from legacy .X format files as well.

This would either require an extensive parser implementation or simply using the legacy DirectX SDK / DirectSetup deployed D3DX9_43 DLL if it is present.