SolidWorks apparently does not have native support for FBX format (Autodesk Kaydara 3D data exchange format), but you can find some plugins that will add this function to the program so users can export their parts (.sldprt) or assemblies (.sldasm) as .fbx files.
Latest versions of 3D Studio Max also possess the capability to work and export FBX format whilst they also support import of SolidWorks formats.
Both these options are fairly expensive and sadly we haven't found any cheap and easy solution how to convert SLDPRT to FBX. However, Blender supposedly can both import/export FBX format (with a Python script) and thus may be worth a shot, although the support was added without the use of the official FBX SDK and thus may not be perfect. For this to work, you would need to first convert the SolidWorks files to VRML format that is acceptable by Blender, which is endeavor of its own.