Anyone interested in moving to DirectX 11 will be in for a wild ride. The D3DX library has been deprecated and is no longer supported. With this a ton of functionality has been taken away from the hobbyist game programmer. As well the updated Direct3D libraries are no longer in a separate release and have been incorporated into the Windows 8.0 and soon the Windows 8.1 SDK. Note that D3DX will NOT ship with the Windows 8.0 and 8.1 SDK.
However, there is a bit of hope. Several projects at codeplex are devoted to giving some or most of this functionality back to the developer through a few independent libraries.
DirectX TK (Tool kit)
DirectX Tool Kit - Home
DirectX Tex
DirectXTex texture processing library - Home
Effects 11
https://fx11.codeplex.com/
General information about replacing D3DX functionality:
MSDN Blogs
In short the whole thing is a disaster at this point. My recommendation would be not to rely on these libraries and eventually roll your own code to do these important utility tasks. There is a plan to create a library for meshes but currently there is no replacement for the mesh functions in D3DX. The .X file format is not widely supported and I recommend moving to a more widely supported format for models such as .FBX. Autodesk provides a C++ SDK that can read and write FBX files so the heavy lifting is done for you...for the most part.
Other alternatives are to use a pre-built framework like OGRE or perhaps a complete engine such as Torque or Unity3D. I have worked with Unity3D and while it has a good editor it lacks many important features that other alternatives offer. The free version of Unity3D lacks a lot of features. The pro version is not cheap but has many more features.
Torque is much cheaper than Unity3D but I do not have a lot of experience with it so I cannot say much about it.
On the managed side XNA is not supported in MSVS 2012 although it can be modified to do so. XNA has not been officially deprecated but since MSVS 2012 does not support it out of the box I would say it is close to that point.
