Geometry will be assigned to Rhino layer named after the object's Revit category.
RHINO 6:
Due to Revit and Rhino API limitations RAY is subject to unexpected behavior based on your machine configuration. It is suggested to perform a manual dwg import in Rhino to unlock API import capabilities if it was never done before.
For more information about how to manually import a dwg in Rhino follow this link:
Rhino Autocad dwg import