I am trying to extrude concentric circles, but if I select them all and extrude them, the extrusion makes a single body. I also tried with different sketches and it is the same issue. Is it possible to extrude each circle and form different objects? Something like a Swiss roll.
Yes. The trick is to make each cylinder of the roll it's own individual extrude, and to un-check 'merge result' for each new extrude.
Unchecking 'merge result' is what allows multiple part 'bodies' to exist in a single part file.