The following settings are recommended up to NX 11 and SolidWorks 2016.

NX – System

• Delete blanked elements before preprocessing.
• To transfer colors of assemblies the colors should be set and saved with the individual components, not the assembly.
• Note that NX uses the radius of a "tolerance tube", other CAD Systems like CATIA V4 define "tolerance" as the distance between two points.
• Select Analysis -> Examine Geometry -> all options -> all elements (up to NX2). 
• Select Analysis -> examine Geometry -> Set All Checks (up to NX8.5) The marked elements are likely to cause problems with data exchange, depending on the messages as explained below:
• Severe errors:
  data structures, consistency, face-face intersections, self-intersections
• Might cause problems:
  tiny, face smoothness, spikes/cuts, edge tolerances
• Without negative influence on data exchange:
  misaligned, sheet boundaries, edge smoothness

NX - STEP Preprocessor

• Start the external STEP processor with File -> Export -> STEP214.
• Select Data to Export and define the options:
• Object Types: One or more of the options Solid, Product Data, Surface, and Wireframe (depending on model).
• The default tolerance value in menu Advanced -> Parameters -> B-Spline Aprx. Tol. of 1.01*10-5 mm can cause to very large STEP files and should be reduced in such cases(recommended value: 10-3 mm).
• Recommended is to use the default settings in menu Translation Control (Tolerant Modeling).
• Special characters in the filename of the STEP file are not allowed. The model will not be exported.
• Validation properties are supported.

STEP File

• An adjustment of the STEP file is not necessary.

SolidWorks - STEP Postprocessor

• To import a STEP file go to File -> Open… and select the file.
• Click on Options and the Import Options dialog box appears. Under General options following can be selected:
• Surface/solid entities: import surface and solid entities.
• B-Rep mapping: import the model using boundary representation. If not selected, SolidWorks attempts to knit surfaces into solids.
• Knit surfaces: imports as surfaces and tries to knit imported surfaces.
• Do not knit: imports as surfaces without knitting them.
• Free point/curve entities: imports free points and curve entities.
• Import as sketches
• Import as 3D curves
• Import multiple bodies as parts: Imports a multibody part as an assembly document. The multiple bodies are imported as part documents contained in the assembly. With this option cleared the multibody part imports as a part document that contains multiple imported bodies.
• Perform full entity check and repair errors: default is selected
• Customize curve tolerance: needed tolerance for the import can be entered here.
• Map configuration data (for STEP only): Imports STEP file configuration data plus geometric data. To import only the geometry this option must be left unchecked.
• The other available options are not applicable for the STEP import.
• Recommended options are to check Surface/solid entities, Try forming solids and Perform full entity check and repair errors.

SolidWorks – System

• Import errors are indicated in the history tree. By mouse right click over the model and choosing What’s wrong?, a detailed information will be displayed.
• Doing a Geometry check, the errors will be indicated in the model.