Thanks to all the people who sent in suggestions . Here is a short example in the form of a notebook that generates a .dxf file for a Klein bottle. You can download the .dxf output file.
Several converters are available.
I used Wcvt2pov , which allows one to add color and a few textures to the mesh. Here is a scene with several objects generated by Mathematica. If you download the .wrl file, fly to the center of the figure-eight knot, where you will find several smaller objects. There are some interesting objects at the center of this knot. Apparently, Geomview can be used to view and save 3D graphics from Mathematica, following which the OOGL files can be converted to VRML by an existing converter .