I don't think you can export sketches
There is no option to export the sketches when you are exporting a step file...
That option is only for when you are exporting an iges file...
Also, after making the iges file with the "Export sketch entities" option enabled...when you read the file back in to Solidworks you need to make sure the Import Options have the "Free point/curve entities" option enabled.
...otherwise it will not import them.
allright thank you for the fast answer!!