Then extrude the resulting object. Hit Shift E. To make it look nicer, you can add tiny bevels to the front and back. Select the front face, hold down shift and select the backface, then hit b. Might be an idea to use the Numeric panel so you can make your inset amounts the same.
When you save the illustrator file save as illustrator 8.5 version. You can extrude to 3d as other posters have described above. If you want each part in a seperate layer you can use the layerize feature supplied with 3D Arsenal. Let us know if that gets you going!
is it possible to import EPS files and add depth or "3Dish" look to flat images. will it pull the image in as separate layers?
There is a tutorial for doing this on the content DVD.
It is called "Using Illustrator EPS Files"
It shows how to import, extrude, surface and size your eps or .ai files.
Here is a link to an online version http://www.toasterdudes.com/pages/3DACT_tutorials.html
It is the last tutorial in the logo arsenal section.
It does not allow for importing objects in as layers right now.
I know in the "importing eps" tutorial you mention to save your Illustrator files in Version 8. What is the reason for that version? I use the latest version which is 12 or now called CS2, does that do any harm in that version? Just curious.