Note: These notes were created some time ago and were in the Rhino Help. But it seems that people who know this subject should review and update this information, so I'm moving it here. ~mb
Use an absolute tolerance of 0.0001.
Model only the organic parts of the model in Rhino, leaving features such as fillets, shelling, ribs, etc., for SOLIDWORKS.
SOLIDWORKS usually does not consider Rhino tangencies to be tangent. Fortunately SOLIDWORKS provides some work-arounds with face fillets.
Another thing you can do is select the entire chain of near tangent edges in SOLIDWORKS. The filleter will then build a piece-wise fillet with near tangent segments, which are tangent within human perception. SOLIDWORKS helps with these problems with its right-click Select Tangent feature, which works on both edges and faces. This is an enormous help when filleting imported models.
Shelling, by nature, sometimes requires that surfaces extend, but if your Rhino model has a singularity or other peculiarity where the extension should occur, then shelling is likely to fail.
Small wrinkles will stall the sheller if the curvature of the wrinkle is smaller than the requested wall thickness.
Try to model with smooth, over-sized slab surfaces whenever possible. Import mini models as your Rhino model progresses to test feasibility. Use SOLIDWORKS What's Wrong feature to highlight problem areas, and investigate alternative approaches. Nothing replaces experience, and after you successfully work with a few imported models in SOLIDWORKS you will gain an intuitive feel for what works well.
Update: 2 December 2016
Phil Cook from Simply Rhino made this excellent 35 minute video covering this subject: