The 3D files are downloaded in the SLDPRT format. By default, the downloads are located in your $AppData$>Roaming>RSComponents>Data folder.
You also have the option to download to a different location.
The above option is available by right-clicking on a product in the add-in toolbar. Once your download is complete, an 'insert into design' option is available if a SolidWorks assembly is open. Or, you can simply open the part as a separate file.