sorry for late reply, also i haven’t gotten a chance to read other replies.
this is my solidworks settings for importing files, found in Options>Import
here are my rhino settings for exporting step files:
if you open the step file directly in SWX, it should bring in each part as a solid into a PART file.
if you want each solid in your rhino file to come in as seperate PARTS for an assembly toggle this in SWX import. but this will bring in every solid in your rhino file as a part, not desired if you have a part with details in rhino, in my case a main part with pipes. i don’t have many parts in my assembly so i have a script to export a selection as a dummy file, in SWX a script to import dummy file.
dunno if this helps, looks like a lot of people have chimed in and probably have better info for you. good luck!