Modelling multiple components in a single part document

When modelling in SW i currently build all of my parts in individual part documents, then bring them together in an assembly. This is fine, until, (for example), i need a number of components to stack together precisely. I have heard that it is possible to mould all of the desired components in one part document, but save them as seperate parts, and then re-unite them in a assembly?

How do i go about this?

Thanks in advance,

Luke

SolidworksParts And Features