I've previously covered using the MAP Query command to transform a drawing between coordinate systems however the same Query command can also be used to set the elevation properties of a set of contours that have been imported from a SHP file.
The process involves importing the SHP file data with the contour elevations being saved to MAP Object data and then running a MAP Query to Alter Properties in order to set the polyline elevations to the appropriate value stored in the object data field.
The complete process is shown in the video below:
For a full description of the steps, please read on...