Yes this can be done. The "save as" dialog defaults to upper case extensions, so you will have to manually change the upper case letters if you do a "file-save as". The better way to do this is to use a macro. The following will save the current part document as a step file in the same folder with the same name, but using only lower case characters. Paste into a blank macro, link to a toolbar button and you can do your saving with one press of a button and no typing.
Option Explicit
Dim swApp, Doc As Object
Const swDocPART = 1
Const swMbWarning = 1
Const swMbOk = 2
Dim BoolStatus As Boolean
Dim LongStatus As Long
Dim e As Long
Dim w As Long
Dim Msg As String
Dim DocName As String
Sub main()
Set swApp = CreateObject("SldWorks.Application")
Set Doc = swApp.ActiveDoc
If ((Doc Is Nothing) Or (Not (Doc.GetType Eqv swDocPART))) Then
Msg = "A part document must be active to use this command!"
LongStatus = swApp.SendMsgToUser2(Msg, swMbWarning, swMbOk)
End
Else
DocName = LCase(Doc.GetPathName)
DocName = Left(DocName, Len(DocName) - 7) & ".step"
BoolStatus = Doc.SaveAs4(DocName, 0, 0, e, w)
If BoolStatus = False Then
Msg = "Failed to save IGS document!"
LongStatus = swApp.SendMsgToUser2(Msg, swMbWarning, swMbOk)
Else
Msg = "Saved part as " & DocName
LongStatus = swApp.SendMsgToUser2(Msg, swMbWarning, swMbOk)
End If
End If
Set Doc = Nothing
Set swApp = Nothing
End Sub