You can also do it within poser. Just select each object and create a new group (for each) with the grouping tool. Then export it all as one object, import it back again (you might need to rescale) and apply your textures. But since you have already done this model in MAX you might as well use the methods above. The method I mention is more suitbale for props built within poser, such as the building kits I make.