pcb legacy 3d
Some manufacturers have step models for their products, but it's hit and miss. I would take a look at the web sites for the parts you are using.
For example- 3M, Samtec, and Tyco have models for many of their connectors. Likewise with some special filters, transformers, etc. You just need to look at the manufacturer's website.
Recognize that with the latest version of AD you don't need step models. You can very easily build 3D components in the library editor using extruded blocks, cylinders, and spheres. Versions 6.8-6.9 are somewhat more limited in the choices for building component bodies than the new Summer 08 version, but it's still not hard to make pretty good 3D bodies.