Tools > Sketch Tool > Sketch picture. Use this to insert and trace the picture and then extrude. You need to start a new sketch and then go to this path.
Edit: Sorry didn't checked that you asking for PSD files.
You can not extrude anything from a PSD file. When you open it, you can specific a layer within that file but all you can bring in from PS are bitmap images, even if there are paths in the PSD file. If that is that case, open the file in Illustrator and then save as .AI and open in SW.
If all you have are bitmap images, then we do have an auto-trace function in sketch picture that allows you to capture the profile via a wizard - but it only works well for very high resolution images that are of high contrast. You best bet is to find out if there are paths in the PSD or if it originated from Illustrator and get those paths to an .AI file that you can directly open into a sketch in SW.