it does have a 3D option but does not have sldprt, sldasm or prt extension when inserting a file.
You can save solidworks parts/assemblies as Photoshop format files and then open them in photoshop.
Photoshop will not open native solidworks files
PS can open .obj and .3ds. if you can export your SW model to these format then you will be able to import them in PS CS4 or later.
there is another way to do this but you have to download an add-in from Labs Collada to export your files to DAE format which can be opened with PS.