It seems to me you did it backwards. What you should have done was insert > Component > New Part. then draw you 3D sketch inside that part. I'm not sure you can make that 3D sketch associative with a part since it was created in an assembly. Maybe a convert entities might work once you have inserted a new part.
Best Regards,
Heckler
Sr. Mechanical Engineer
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Never argue with an idiot. They'll bring you down to their level and beat you with experience every time.