I'm an Inventor user, not a SolidWorks user, but I believe they work the same in this regard:
You have to build each of the parts as a separate part, and them use an assembly view/document to build the assembly where you put them all together to make sure they fit.
Once you're ready to export, you have to export the sketches (for curves) out of the individual part files. There may be macros that help you do this.