AFAIK you cannot convert an SGML DTD to XSD in VS in all cases. There is an option to create a schema but I haven't heard that it actually works correctly with the SGML format. SGML is more loose than XML and therefore conversion issues can occur the further from pure XML the SGML is. Of course you could use VS to convert the bulk of the DTD and then fix up whatever is left but I don't know a good way to verify this.
You could try to first convert the SGML DTD to a regular XML DTD and then use VS as well.
Finally there may be some online converters that could do it as well if the DTD is really large.