If it's a figure, it should be one object file. With each poseable part being a different group. Then you make a PHI hierarchy for it and turn it into a Poser figure. Converting a PHI file in Poser will create a CR2 that references the obj.

When I say "should be," that's not your only option. It really depends on what this is for. If you're selling it, I'm personally of the opinion that it should be set-up as "professionally" as any DAZ product. If you're just planning on sharing this with a few friends, you can certainly take some short-cuts.