As far as neutral formats go, STEP and SAT files have worked the best for me.
Pro/E export files can be flaky, mostly because of Pro/E's relative tolerance/accuracy scheme. This is especially true if you have large parts with small features. If there aren't too many files, make temporary files and change the accuracy to "absolute" for the purpose of translation.
If your recipient is able, have them install PTC Pro/Desktop Express. This will allow them to translate Pro/E files themselves.
The older versions of Pro-E can be imported directly into SolidWorks but their newer compressed version cannot.
If you have both systems you should play with them and see what works best for you. I would try exporting the Pro-E file as the Step or possibly Parasolid file format and import that. Pay attention to the format version used with both of packages.