[JesseK]

If you use solidworks, download the .stp file from firstcadlibrary.

In solidworks, open the .stp file & save it as a solidworks part or assembly. Do not close the file.

In your robot CAD assembly, hit "Insert Component" and the part/assembly you downloaded will be in the list.

As far as I know in solidworks, you cannot merge two parts together and still call it a part; it's instead an assembly.