I must assume that you mean you want to combine the shaft (in blue) with the helical gear (in grey).
I've never tried this, but... I think it's possible to open both parts, and "tile" the part windows so that you can see both parts on the screen at the same time and BOTH feature trees in the browser window pane.
Then you can copy-past the features from one part to another. Maybe its just as easy to select all of the features of the helix part, press <ctrl>-C, then open the shaft part and press <ctrl>-P to paste. Before you do this, the helix must be able to survive the copying operation, which means it must be sketched using the same co-ordinates as the shaft. Otherwise its features will be placed in the other part with (a) no reference plane for its sketches, or (b) located somewhere else relative to the shaft.
Why didn't you just model the helix from the face of the shaft in the first place? That would have been easier.
STF