There's a plugin for SolidWorks that allows you to work collaboratively on the same PCB from SolidWorks and Altium, which *looks* pretty nice the last time I saw a demo, but of course requires AD, SW, and the co-design license, so it's not a cheap solution.
The method free_electron describes works fairly well, or if you're designing a PCB that needs to accommodate a finished plug-in board, you can link the step file for the plug-in board into the PCB design file for the main board rather than a separate PCB file.