Note: Remember the difference between using the left and right mouse button!
The left mouse button is usually only used for selecting or to get a "direct effect" without giving you any alternatives. If you drop an Extrude shape on an existing Part with the left mouse button, the Extrude will always become a Feature of that Part. Use the right mouse button to drop it as a standalone Part.
The right mouse button is (always) used for options. For example when dropping an object out from a catalog, say an Extrude shape that should be a new Part and not a Feature of an existing Part. Also on the TriBall handles to create copies/links - use the right mouse button.