In the Assembly Window you can add the whole assembly with all including subcomponents to a Object List.
You can give the new list a name
For the newly created you can apply further list operations like "Add Dependent Document"
You can add this to the current list or create a new list
Now you can use this list for further actions like opening them all in the CAD system.
You can also store them in a new folder and then use the export functionality to save all the files in a local folder on your harddrive.
