I had a similar situation when I was trying to move a bunch of old Outlook Express emails. Doing it manually was honestly messy. I tried exporting and even looked into opening DBX files one by one, but with multiple files, it just became slow and confusing. Some folders also didn't come out properly, so I started looking for something more automatic.
Later, I used GainTools DBX to PST Converter just to avoid all the manual steps. I simply added the DBX files, selected PST as output, and it processed everything together. The folder structure and emails came through in one go, so I didn't have to handle each file separately.
From my experience, automation works better when you have bulk DBX data. As long as you have a copy of the original files somewhere safe, you should not have too much trouble getting everything converted to the new format.