CAD Models for Lego components can be found at: http://gicl.cs.drexel.edu/repository/data/repository/Lego/ There are many models in various subdirectories. STEP, VRML and I-DEAS formats should be available.
.sat, .stp, and .wrl files for lego parts are located in http://gicl.cs.drexel.edu/repository/data/repository/Lego/Drexel_GICL/
Importing .stp files to Adams
Inside a particular model (mine is called legos),
go to File/Import set the file type to STEP (.stp) set File To Read to your .stp file (from the web repository, save the .stp file to your local machine) remove whatever is in the "relative to" textbox, double click there, click on your model name (.legos for me) in part name, double click, then click on ground under your model name (legos for me)
leave all other options as defaults, click OK
If you cannot see your part, click on View/Part Only.
This will import your part as a shell and attach it to the ground.
These directions are very hackish, feel free to improve them.