In SW2003, you can use 'Save As' to save an assembly as a part. You loose all parametrics and basically end up with a dumb part using this method. The part files are not needed to open the new combined part. Can drastically improve performance for a large assy. I have used this method very sucessfully for large purchased assemblies (an entire engine, for example).
You can also use a Join feature to merge an assembly into one part. All parametrics are preserved and updating the assembly will update the joined part. The part and assembly files are needed to open the joined part. Little or no performance increase using this method.