I created a line file in illustrator and converted it to a dxf. When I try to extrude it in rhino it to 2.5mm it makes it way thicker then what I want.
Definitely a unit set up issue. Can you look at the system units?
Type units in the command bar and make sure your units are in millimeters. Then make sure to scale your imported line work to match the size of the units.
And also Delayna,
It looks like the BothSides=Yes switch is on for your ExtrudeCrv command.
Try toggling it to No, and see if you have better results.
You can see from the screenshot that Both Sides is unchecked.
Looking at the grid spacing in the screenshot, it looks like the extrusion is about 2.5 units thick (if Minor Line Spacing spacing is 1 unit).
Upload the geometry please.
-Kevin
DXF files are unitless, you probably drew your part in Illustrator in cm, but since there no units attached to the dxf export, Rhino uses the numbers as mm.
Either import the dxf into a blank Rhino cm file, or scale your imported geometry by 10 if you want to stay in mm.