STEP Question

We want to start using the 3D aspects of PCB Editor.

I'm able to output a STEP model of the PCB, but there is no component height associated with the parts.

I have watched a few on line videos that show how to use the STEP mapping command where, for example,  you can easily associate an 0402 footprint to an 0402 STEP model.

The question is, in my STEP Mapping window there are no available STEP models to map my footprints to. Are these models something I need to generate and if so, how do I generate them?

Thanks, 

Tom