The matlab library should still work for AFNI format, but we rarely use MATLAB ourselves anymore.
NIFTI format can work too, but be careful about orientation and template spaces if you are exporting it back to AFNI.
Getting data out of a single sub-brick volume can be accomplished with sub-brick selectors in AFNI:
3dTcat -prefix mydset_vol.nii.gz mydset+tlrc'[3]'
This example extract sub-brick 3, the fourth volume (counting from 0) to a new dataset (here, using NIFTI for the output). You can use programs like 3dTcat, 3dcalc, 3dbucket, 3dAFNItoNIFTI to do the extraction (3dcopy doesn't allow sub-brick selectors though).
