Not sure what you are trying to accomplish, but
You could create an assembly of the parts you want linked.
You could insert one part into the other.
I am not good with API, but there may be a routine that can be written that would do this.
Other then that No.
I want to create an assembly of parts, where I only have to change the dimensions on one part, and the rest automatically change.
Ok, then I would say either insert the one part or parts into the other, or
create a design table with configurations. Then you could change the dimension
in one location.
Insert both the parts in the assembly. Click on the feature(s) to highlight the dimension. Double click on the dimension you you to add the link/equation and select add equation.. Now when you have the equation editor opened up, double click on the other part to highlight the dimensions. Select the one you want to link with. Click OK and close the editor. Save your files and done.
The dimensions of standlalone parts cannot be directly linked, but parts within an assy can be linked by several methods;
See the Help files for details of each.