To answer your questions:
- yes, you need to create CAD models of your robot links
- the mesh formats that ROS understands are STL, DAE and Ogre
- both Autodesk Inventor and SolidWorks can export to STL format
- ROS (RViz etc.) understands both binary and ASCII STL
- SolidWorks produces binary STL files that look like ASCII STL files, thereby confusing ROS; but these files can be fixed (search previous questions tagged "stl")
- you can use ivcon to convert between binary and ASCII STL, and other formats
- the STL files from the CAD software should work as they are; if you need to do some tweaking (rescaling, rotating, whatever), MeshLab comes in very handy