You are going to have to have them translated into a format that Slidowrks can read...
Out of the box SolidWorks can read Catia .CGR files...
other than that you need an iges, step, or preferrable a parasolid.
There are other add-in's that you can purchase such as an ELysium direct translator for Catia and SW... it's bi-directional by the way.
hope that helps.
Regards,
Jon
jgbena@yahoo.com