CATIA follows an item based philophy, 1 part is 1 item. This is because its target market is OEMs that invaribly use item based PDM/PLM system. In these environments it makes no sense to have a document that represents multiple object at the same time, presumably only the final stage has the fit,form and function required in the finished component.
There are two ways you can get what you want, one would be to create a part that contained a body for each stage with each body being based on the preceeding stage, using paste with link (you will need to create technological objects if you are passing threads between bodies or parts). You can then create a drawing view based on an individual body. The down side to this method is all bodies must be visible for the drawing to visualise them, this can make an assembly very confusing. The other method is to have part for each body passing the previous body to the part via a paste with link. The down side of this method is you end up with lots of parts, but the assembly thing is solved. The best answer may be a combination of both methods where you have 1 part containing all the stages as seperate bodies and the final result is pasted with link into a seperate part for use in assemblies.