I don't know which CAD system you have, but the best practice is to create separate bodies in your CAD system before you get to ANSYS. If I import a "picture frame" design into DesignModeler, there will be 5 parts and 5 bodies. This is not good because the 5 parts will be unconnected in Mechanical Meshing, but they can each be assigned their own thickness.
Select all the bodies and Form New Part.
Now there is 1 Part consisting of 5 bodies which can still have their own thickness, but Meshing will connect the 5 bodies.
If you were given the file and don't have a CAD system to do the splitting, you can do that in DesignModeler. In ANSYS, right click on the Geometry line in the System block and select Edit Geometry in DesignModeler. You will have to create a New Plane at each edge, then insert a slice operation. Note that the slicing occurs on the XY plane you select, so you have to orient each plane properly. In your case, you will need 10 horizontal planes and 20 vertical planes. Here is what the picture frame looks like after four slices.
After all the slicing, you can create Boolean Unite and combine the frame bodies that have the same thickness to reduce the total number of bodies.