Update - I figured it out - Fusion360 does not by-default include parameters unless you specifically check the box:-


The workflow seems to be as follows.
1. Create and save a parametric component (e.g. a lego brick of dimensions X, Y, and Z studs.), named "Lego_Brick"
2. Create a new design, and inside that, create a new sketch, and draw 9 lines in that.
3. Edit the parameters of #2, click all the "*"'s to make all the line length parameters "Favorites", and give them the following 9 names:
Lego_A_X, Lego_A_Y, Lego_A_Z
Lego_B_X, Lego_B_Y, Lego_B_Z
Lego_C_X, Lego_C_Y, Lego_C_Z
4. Save this design as "Lego_Size_Parameters"
Do the following 3 times:-
5. Click "Derive" check the boxes as I've shown above, and it will open a new "Untitled" design.
6. Insert your "Lego_Brick" component. Click the "break link" icon on it. Edit the parameters and replace them with Lego_A_X,_Ref Lego_A_Y_Ref, Lego_A_Z_Ref
7. Save this as Lego_A
8. Repeat above 3 times for (Lego_A, Lego_B, Lego_C)
9. FINALLY - create one last new design, and:
10. Insert the "Lego_Size_Parameters" into this new design
11. Insert all 3 of the Lego_A, Lego_B, Lego_C (as many times as you need)
12. Save this as "My_New_Toy"
13. You can now click the "edit in place" icon next to the Lego_Size_Parameters, change anything you want then click the green checkbox to finish editing
14. Note that you then need to Save your "My_New_Toy" design, which will detect that you changed things in step 13, then you can click the yellow update triangle and all of the bricks will update themselves appropriates.
*. Note that this is not exactly perfect - if you need to change the master Lego_Brick for some reason (which you probably never will - that's the point of components - they usually do not change, or more specifically - you think ahead, and turn whatever you think *should* change, into parameters), you'll have to re-create the Lego_A, Lego_B, and Lego_C designs appropriately too.
Good Luck !