No 3D sketch in Context assembly?

I want to model this vibration sock in context assembly in Solidwork so I can run simulation to add force.  When I did insert new part I don't see 3D sketch available.  Can someone give me some tips how to create the helix in context assembly?  I know the height is 3mm, the width of the helix is 4.4mm.  Thank you

SolidworksAssemblies