OpenVSP supports four modes for exporting STEP files to CAD.
1) Export of the un-trimmed OML
File... Export... Untrimmed STEP (.stp)
This will export the OML as surfaces, with no attempt at trimming (for example) wing-body junction. This is likely the most simple and robust way to export to CAD. There are several options to tailor how this works. The most important option is at the top of the list (Split Surfaces). You may want to turn this option off.
If you export with this mode into CAD, you can probably convert the surfaces into a solid pretty easily. However, that will truly be a solid wing, which is probably not what you want because most wings are actually a thin shell. In any case, you can start from that geometry to model whatever you need in CAD.
2) Export of the un-trimmed FEA Structures definition
Build a FEA Structures definition in OpenVSP -- i.e. add ribs and spars, etc.
File... Export... Untrimmed STEP Struct (.stp)
This will output the OML and the structural components as surfaces, with no attempt at trimming (for example) a rib. The rib will just be a plane surface that passes through the wing. Most CAD programs will then allow you to intersect these planes with the wing to create the rib surface.
3) Trimmed OML
Analysis... Trimmed Surfaces... Intersect and Export
This will trim intersections (like wing-body) and will attempt to build a solid representation of your geometry. This is imperfect, but it might get you further down the road. However, the entire model will be a single contiguous solid -- likely not what you actually want to run FEA analysis on. You'll have to model your structure from there.
4) Export of trimmed FEA Structures definition
Build a FEA Structures definition in OpenVSP -- i.e. add ribs and spars, etc.
Analysis... Structure... FEA Structure... Export CAD
This will trim the FEA parts and attempt to write out a STEP file representing the trimmed geometry.
No matter what, the ribs / spars in the structural representation will be thin surfaces. They are set up assuming that you want to perform a thin-shell FEA analysis (using TRI or QUAD elements), not a solid FEA analysis (using brick elements) that also includes beam elements (represented as a line). This is usually the most efficient and accurate way to represent the majority of aircraft vehicle level structures. This is not a great way to model some structural details like fittings machined from billet.
Of course, you can also use OpenVSP to generate a structures mesh and write out a NASTRAN or CalculiX file of your structure definition.
Note, importing CAD interchange files (i.e. STEP files) is notoriously riddled with problems. This is because of weaknesses in how the standard file formats are designed and due to differences in how all the different CAD programs are designed and implemented on the inside. You will likely need to play around with different combinations of the above methods and options (and different downstream tools) until you figure out the workflow that works best for your situation.
Rob