IGES will work, but I don't think the old IGES (ie. v5.0) supports assemblies, but v5.3 certainly does. However, both sending and receiving softwares have to be running v5.3
The STEP translation should also work, and from my experience with better results to Pro-E. Not sure why you're getting individual STEP files for each part.
With the Assembly on the Workbench Select:
File -> Export -> STEP
Double click one of the instances so that the entire assembly is selected, Select return, and leave the default STEP 214 option selected and press OK. For me this gives a single STEP file containing the Assembly Hierachy.
If you don't get this, what version of I-DEAS are you running?