Hi David,
Unfortunately, we can't create multiple sheets within a single drawing yet. We do have it on the roadmap, but at this stage we don't have a release date.
To answer your "...how do we document all of the custom made components? Will I have to export them out of the assembly to draw them individually?" question, no, you don't have to export each component out of the assembly before creating drawings. When creating a drawing, you can select the full assembly (default) or one or more individual compoenents. Regardless of what you select, each drawing creates a link back to the model. If you create a drawing of the full assembly, the drawing creates a link back to the model. Llikewise, if you create a drawing of a single component within the assembly, the drawing creates a link back to the same model. Although they are seperate drawings (within the Data Panel), each drawing is linked to the model so that changes made to the model update all drawings. These links can are then displayed in the Data Panel.
To create a drawing of the full assembly, launch the New Drawing from Design command and in the CREATE DRAWING dialog, make sure the Full Assembly checkbox is selected.

To create a drawing of a single component, launch the New Drawing from Design command and in the CREATE DRAWING dialog, unselect the Full Assembly checkbox and select the component you want to create a drawing of by selecting it within the model itself. BTW, you can select more than 1 component if needed.

To track all of these links, open the Data Panel and click on the information "i" button in the lower right corner of the model. This will open the detail panel for the model and list all links to drawings as well as parent models.

I hope this helps.
15" Retina MacBook Pro (Late 2013), OS X El Capitan (10.11.3), in Sydney Australia
Andrew de Leon
Experience Designer - Fusion 360
MacBook Pro (16-inch, 2019), OSX 10.15.7, in Sydney, Australia