Texture maps for SketchUp files are embedded within the file and no separate image files are needed. When a SketchUp file is imported into a model, placed as a cell, or saved as DGN, the image files associated with the SketchUp file are automatically moved to a "SketchUpImage" directory below the WorkSet's root directory (this is created if it does not already exist). While this happens automatically, when the DGN file is closed, you can force the copy to occur by saving the DGN manually (File > Save).

When you attach a SketchUp file as a reference, its materials are not copied into the current DGN file and, therefore, are not copied to the SketchUpImage directory.