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If you use Solidworks you can simply 'save as' 'IGES' or 'STEP'. Same for opening them, solidworks will run feature recognition, and then you can save it as a 'sldprt' or 'sldasm' file.
http://download.cnet.com/IGES-STEP-Converter/3000-18496_4-10974254.html
Here's one but I suspect its just STP to IGS and vice versa