Saving file in Illustrator using 'Export' and 'save as AutoCad file .dxf', doesn't finally give the right output in programms which use laser to cut the shape in e.g. steal.
How to export it from Illustrator/Photoshop in a proper way?
There is no right answer to this question. Preparation of file depends on the laser system in question. We have several lasers at work and none of them work the same way. Most of the simpler ones just work like a printer, they then use line weight or weight and color to determine if you want to cut or not. A illustrator file or a PDF is perfectly ok for most lasers of this kind.
Then the really advanced ones eat G-code so they would need to go trough a CAM operator.