I wrote a script a long time ago to get fins from openrocket to CAD to hopefully save time on the laser cutter. Its been forever since I did it, but it worked OK-ish.
If the fins are simple, it might be quicker to just post the ork file and I (or someone else, possibly) could convert them for you. If you want to do it yourself just for the learning aspect, my routine basically imported the *.rkt file (it needed to be saved as an rkt instead of ork since I think the ork file is compressed or something), looked for the fin set and drew a line based on the point list. Here's an example of what the point list looked like in one model:
<CustomFinSet>
<KnownMass>73.64313051334362</KnownMass>
<Density>1049.21</Density>
<Material>Polystyrene PS</Material>
<Name>Custom Fin set</Name>
<KnownCG>160.941</KnownCG>
<UseKnownCG>0</UseKnownCG>
<Xb>403.225</Xb>
<CalcMass>73.64313051334362</CalcMass>
<CalcCG>160.940503875969</CalcCG>
<DensityType>0</DensityType>
<RadialLoc>0.0</RadialLoc>
<RadialAngle>0.0</RadialAngle>
<LocationMode>0</LocationMode>
<Len>0.0</Len>
<FinishCode>1</FinishCode>
<SerialNo>2</SerialNo>
<FinCount>3</FinCount>
<RootChord>0.0</RootChord>
<TipChord>0.0</TipChord>
<SemiSpan>0.0</SemiSpan>
<SweepDistance>0.0</SweepDistance>
<Thickness>3.175</Thickness>
<ShapeCode>2</ShapeCode>
<TipShapeCode>2</TipShapeCode>
<TabLength>0.0</TabLength>
<TabDepth>0.0</TabDepth>
<TabOffset>0.0</TabOffset>
<SweepMode>1</SweepMode>
<CantAngle>0.0</CantAngle>
<PointList>206.375,0.0|247.65,82.55|180.975,76.2|107.95,25.4|0.0,0.0|</PointList>
</CustomFinSet>
So, you'd save your openrocket file to a rkt file, open it in a text editor, search for </CustomFinSet> and look at the line called <PointList> to get the coordinates that made the fin shape. If Illustrator has the ability to enter precise coordinates when drawing lines, you could use that to draw the shape and then save to dxf (if Illustrator does that - not sure).
Not sure if any of the above helps or not. For all I know, maybe newer versions of OpenRocket can export a list of points or similar.
Good luck with your project!
Sandy.