I assume that you are trying to save an assembly into a solid part? You can export an assembly to individual STL parts but if you want to create a single part out of an assembly I think you will need to use shrinkwrap though we have had little success with very complicated geometry but relatively simple models have worked just fine. If you have the AAX then you can use merge/inheritance features as well but I personally don't have any experience.
Hope that helps,
-J-