When you explode the assembly, instead of using the handles you can specify the direction by selecting an edge, or in this instance, a cylindrical surface. You should be able to edit the step if it's already created.
Thanks. Yes, that worked. I knew it had to be something easy!
Just as Bjorn describes, select the Explode Direction box (highlighted in red - somewhat poorly) and delete the default direction information. Next, with the focus still in the Explode Direction box, select something in the graphics area to define the new direction vector.
- Edge / Line (direction is parallel)
- Face / Plane (direction is normal)
- Cylinder / Circle / Arc (direction is parallel to axis) (this is ideal for fasteners)