What you need to do now in the grouping window is click the "Create New Group" button then start selecting all the surfaces for that group. Once you have the surfaces selected for, let's say, the roof. You then assign them a new material name by clicking assign material button and typing in a new material name for that group. It would have been much easier if you had done this before exporting the single props and reimporting as one grouped prop. If you have any backups of the single props I'd suggest you assign the materials to them before you export as a single prop. They will retain their grouping assignments and material names if you export as OBJ.