For RRC 4.0 (and previous versions) there is not a way to convert VDX to RRC. You can upload the VDX file to an RRC artifact however to take advantage of the requirements management and traceability capabilities through RRC repositories while still  using Visio for the diagram in an upload/download method.

We certainly have had requests for this type of conversation support in RRC and it would be possible that we'll certainly have better Visio support in the future.

You might also want to consider RSA as a possible alternative for managing Visio models and data. We will support a bi-directional integration for RSA (DM) to RRC (currently in 4.0 beta) and this would be another method for using Visio along with CLM.