It depends on what you are trying to accomplish...Do you want to change the sheetbody from the stepfile into a solid body? or do you want to create a parameterized body from it..
If you just want to have a dumb solid body then you need to tell the Step translator to import it as a solid body. I am assuming you didn't make that setting when importing because that is not possible.
You need to use the external translators provided with the NX installation. You can find them in the installation folder in Start menu. The step translators give you the option to translate to a solid body. It will create the partfile for you.
If you really need the section lines of your step to use as a guide for a new solid body, then you need to extract the curves (intersection curves) using a datum plane and the sheet body from your imported step file.
If you are unfamiliar with the names I use, just use the command finder in NX (available as of NX5). It will show you where to find the command you are searching for.
If you have any more questions then feel free to ask...