It sounds like you just started using SpaceClaim and workbench. You will need to get some experience by going through training tutorials. For SpaceClaim:
http://www.spaceclaim.com/en/Support/Tutorials/Essentials.aspx
There are tutorials for Essentials, Modules, Extras sections.
There is also a SpaceClaim introductory course on the Ansys Learning Hub (ALH) if you have a subscription:
https://www.ansys.com/services/ansys-learning-hub
The is no reason you can't create both gears in the same SpaceClaim session, positioned exactly how you want, but you could also choose to import a DXF and work in assembly mode if you want. When you import the DXF, if the curves make a closed loop it should automativcally make a surface and you can use the Pull tool to pull to a solid. If they don't make a closed loop, you can sketch some curves to close the loop at the gaps. If it doesn't automatically make a surface upon import of the DXF, you can use the Fill tool to maker a surface from the closed loop of curves. You'll probably want to toggle the "Patch fill" in the Fill tool options panel:
If you make or import the two gears separately, and use assembly mode, it will import the mesh into the downstream assembled model, and synthesize the geometry. This means you must generate the mesh in the upstream component models. Then right click on the Model cell in each at workbench level to "Update." The Model cell will show a green check mark when it is ready to transfer the data downstream.
See the following starting page in the Ansys help for model assembly:
https://ansyshelp.ansys.com/account/secured?returnurl=/Views/Secured/corp/v232/en/wb_sim/ds_mech_model_import.html
Click the "Model Alignment" hyperlink at the bottom.