maybe you should split them and insert them individually in the assembly. Also while splitting you can save them and form an assembly. In school we have been taught this way. But I have done it in Solidworks 2011
For example i have the a conical frustum being intersected by two surfaces. Now goto Insert>>Features>>Split.
Select the Surfaces and Then Cut part. The three cut bodies will appear.
Now double click the 1 none and save it to a location.
Repeat the same step for other parts too.
Click OK and split feature is generated. Now right click the split and select create assembly.
Choose the location of the assembly and then click OK.
We have the assembly generated.