Welcome to SolidWorks forums Brett.
Make sure the parts are not hidden or suppressed. Also you've not first item selected while you're doing the save as.
SW will often ask you if you want to export all of the bodies or just the selected body, even though you haven't selected any particular body. Check to make sure that you haven't clicked "Don't ask me again" on that message. In SW 2010, check for dismissed messages in Tools/Options/System Options/Advanced. The location changed in one of the later versions.