How do I save an assembly as a multi-body part?

I have an assembly that is made up of multiple parts, some of them are hollow.  I want to make a cavity for this assembly to nest into.  The nest will be 3D printed from ABS.

Should I save my assembly as a multi-body part, then create the cavity?  Will this fill the voids in the hollow parts?

I keep looking for the steps to save the assembly as a multi-body, but so far I'm stumped.