You have to save out the files individually to .STL most likely. If you will be printing this at home, your parts need to be able to stick to the print bed and you will have to orient them in either your CAD software or your slicer software to do this.
Also if you have Parasolid files you have to make sure the STL settings are such that you have enough refinement to avoid flat/faceted surfaces. If the STL resolution is set to low you will end up with triangles that are too big and you will see those in the printed parts.
Any file format that you can bring into SolidWorks as valid solid bodies can be saved out as STL files, IGES, STEP, Parasolid, etc. If the parts are printed professionally using SLS you need not need to worry about print orientation, but as said if you print these at home using and FDM style printer part orientation is crucial to success.