Hey!
I am using the same set up as you. Corel Draw 12, Lazy Cam Pro and Mach3 and have experienced the same problems. I don't use .DXF files, although they do work ok. But have found better success with .PLT files. Just make sure you save in inches rather then mm. Also when on exporting the file be sure to click advanced tab and check "remove hidden lines" and "no width or velocity commands". The "auto weld" should not be checked.
The other problem is with corel draw. It may appear the all lines are joined as one, but you have to make sure all lines have "closed paths" or "welded together".
The biggest help or trick is to zoom in on the drawing in Lazy Cam before creating an offset. I am really puzzled by that one, but it works so well I will not offset without zooming in. I also think that there is a bit of a bug with Lazy Cam when it comes with offsetting. It just seems too sporadic to always be the user fault.
JonnyElectronny