PolyLines is one of the most basic CAD entities, especially if you are converting to DXF format which is the typical format that Laser Cutters require.
No there is no instant command that turns all connected lines selected into a polyline. I typically create my artwork, use the POLY command to trace over the top. This also gives me the ability to shape line segments over curves to whatever resolution I choose, one line segment at a time.
After the POLY is finished, I just erase the original construction entities.
From: Manchester, New Hampshire, USA