Cage, the conversion is easy, I surprised that no one tell me that when I asked about it.  No special program or script is use, but some manual adjustments are required.  This leads me to open the files and compare.

The steps:

1. Import the .CR2 file to DAZ Studio 4.

2. From the menu, select Edit -> Figure -> Rigging -> Convert Figure to Weight Mapping..., then choose the option TriAx Weight Mapping.

3. From the menu, select File -> Save As -> Support Asset -> DSF Figure or Prop File..., then fill in the information required.

4. From the menu, select File -> Save As -> DSF Character File.

That's it!  It is simple.  Unforturnately, I found this link http://docs.daz3d.com/doku.php/public/software/dazstudio/4/referenceguide/interface/action/index/dzconvertlocalmapstogeneralaction/start, instead of that link http://kotozone.blog55.fc2.com/blog-entry-233.html.  

As of this time, I think http://kotozone.blog55.fc2.com/blog-entry-233.html is the best tutorial of how to use the Content Creator Toolkit, which is part of DAZ Studio 4 Pro.  Note that, it is in Japanese.

Lack of documentation hurts DAZ Studio.  As I know, someone even enter a bug for that at DAZ.