You can do it two ways one, you can edit every step and click on that part to include or one step where you just move it where you want it to be when exploded, the difference is -
I would do step one if I am showing the assembly to a potential customer or a co-worker for assembly purposes and you want to show the animation
I would do step two if it's for drawing purposes only
Edit the exploded-view step in which you want the part be included. Navigate to the "settings" box and click the part (in the graphics window) that you want to include in that step. Hit "apply" and it should give you what you are looking for.