You can’t cut air (well, you can, but it’s not productive).
Since you are inside SOLIDWORKS, you can use the Manager Tree to select the edges of your model. Mastercam 2017 is great at "seeing" the profile of your solid. Mastercam 2017 for SOLIDWORKS Tutorial (Lathe)
Pick your tool (typically a standard 80-degree diamond like a CNMG). You can’t cut air (well, you can, but