The easiest way to create a single-level 'assembly' containing only solid bodies is to open the desired assembly and add one new empty component and set that component to be the Work Part. Now go to Insert -> Associative Copy -> WAVE Geometry Linker... and then perform a 'Select All' and hit OK. Now you will have a WAVE linked Solid Body for each component in the Work Part. Now do a 'Save Work Part Only' so as not to mess-up your original assembly and then close all parts. Now you have an 'assembly' consisting of Solid Bodies only, but they are associatively linked back to the original parts, however, if you don't need or desire the associative links, open your new 'assembly' and edit each of the linked bodies breaking the associativity.
Now as for shrink-warping an assembly, this can be done inside of a regular assembly without having to do any copying or extractions first. So, like before, open you assembly of interest and and add a new empty component and set it to be the Work Part. Now go to Assemblies -> Advanced -> Wrap Assembly... Now this function will create what is known as a 'convex body' that is a solid body which would result if you were 'wrap plastic' around it so that there are no 'concave' regions, as shown in the attached image.
John R. Baker, P.E.
Product 'Evangelist'
NX Design
Siemens PLM Software Inc.
Cypress, CA