I figured out how to sorta do Sub Assemblies in Advance Steel.
Create a new DWG and create your sub assembly. You can create drawings for each part and the assembly it self.
Then copy all the parts to a new DWG and explode all the parts to solids save the DWG as your sub assembly name.
Move the solids to 0,0,0 where you want the insertion point to be.
Now in your main DWG model you can add a Special Part for that sub assembly.
I wish it worked without having to explode the parts to solids. It does work in 3D but when you start to generate drawings or even do model views your un-exploded special part will disappear in 3d and not show on drawings.
So my idea is to have Advance Steel objects created in another DWG and then added via a special part to actually show up on drawings, model views and list in the bill of materials just like special parts do as a single item(except better, as special parts are a pain to get onto the bill of materials sometimes)