which will break out each individual part and save it separately
SolidWorks can save an assembly as a single stl file. When you do save as STL, there is an "options" button. Click it. One of the options is to save all parts of an assembly as a single file. This option should not be used if you want to use different extruders for different parts.

OR open each part on it's own and save it
This will not give you the desired mating of parts.