According to the Help files http://help.solidworks.com/2012/English/SolidWorks/sldworks/HIDD_DVE_SPLIT_ASSEM.htm?id=ca2fc379232947ecac0c352b12b3d89b#Pg0 right-clicking a Split feature should give a Create Assembly option, but I'm not seeing this.

Do any others see this option? If so what OS, SW version and SP are you using?