To convert a STEP file to Pro/E format, go to File | Set Working Directory, and navigate to the directory where you want to save the CAD files (if you use subdirectories, you might need to configure Pro/E to use a search.pro file). Copy the STEP file to that directory (if it's not already there). Then go to File | Open, and in the dialog box, and change the file type to either "All Files (*)" or "STEP (.stp, .step)". You should then be able to see and open the STEP file.
Once you open it, it will give you the option to import as one of many different types. If you just need a solid object in the shape of a gearbox, you can import as a part. If you'd rather have access to the individual parts (as separate .prt files), then import as an assembly. Either way, the imported geometry will not be parametric (meaning you can't easily edit the imported features, but you can add new features later). You'll need to enter a name; this will become the filename of the assembly. Because of a quirk in the way STEP (and IGES) data are imported, you may want to give the imported assemblies a temporary name.
The temporary name is only necessary if you feel the need to clean up the model tree at this point. You'll see that there's a parent assembly (with your temporary name), then there's a child assembly that bears the name of the imported CAD assembly, and then there are the individual parts (as children of the second assembly). I'll often just reopen the child assembly, save it, and delete the parent assembly (with the temporary name)—that way my model tree is more logical, and my new assembly filename is the same as the original STEP file. You can safely skip that step if you don't care.
At that point, have a look around the file. If you do that cleanup thing that I suggested, the one piece of data that you lose is a default co-ordinate system. It's not generally too useful, but you can easily re-create it in the assembly if you want.
I also went a step further with the Pro/E assembly of the Super Shifter: in that case, I wanted to have the option of modelling either the pneumatic version, or the servo-shifted version. So I created a family table that describes two instances of the generic Super Shifter, one with the pneumatic parts suppressed and the servo parts active, and vice versa. I also removed the CIM motors, because I have a better CAD model of those (that I did years ago), and because I might want to attach a different input (like an AndyMark planetary gearbox).
In any case, if you want to do this the easy way, here are the files, zipped:
Super Shifter,
Toughbox.* Those are based on the files that AndyMark released, and I figure that this is an acceptable use of them.
*I don't know how long those files will be posted.... The link may die at some point in the future.