Hi Pluton.

I'm not much of a user of the set-up room myself, but I think I can help a little here with the grouping ...

Before exporting your "Pearl+Link", (and before gong anywhere near the Setup Room) select the sphere, open the grouping editor and you should see the whole sphere selected (all red) If not hit "Add All". Now hit "Assign Material" (down in the Geometry Functions section) and give the mat a name. Do the same for the cylinder. (Ignore the wierd, random default colours that get assigned.) Now you can export/import.
(Why do this? Because it creates material groups for each part - you can see them in the Materials room. And .obj format suppurts material groups so they will survive the export/import process.)

Enter the setup-room. Now when grouping you can hit "Add Material", select from the drop-down list and that bit will be added...

Cheers,
Diolma

(who's hoping he's got the right end of the stick..)