Sure. Do File->Save As... and choose Part. However, it will save as a multibody part. If you're intending to use Cosmos Express I believe you will have to use additional features in the part file to actually join the components together into a single body.
It's been two years for me, but isn't there an option in 2007 for COSMOS to run the assy as if it were a part? Or maybe I haven't had anough coffee ...
It should run the assy no problem.
Chris
SolidWorks 07 3.0/PDMWorks 07
AutoCAD 06 ctopher's home (updated 04-21-07)