Markschum is right. You can save everything to one cr2 (character file) in figure pallet (library). Props (pp2) parented to a figure will automatically save with the figure when you save it to the Figure Pallet. When a figure has other figures (cr2) parented to it you will get an option to save all the figures as a "Whole Group".

With your main figure selected, from the Library pallet on the right hand side of the Poser Document Window, choose the Figures pallet, if desired select a sub pallet, click on the + sign at the bottom of the pallet, and if prompted chose "Whole Group".

Parented lights will also be saved with the figure, but note that only one instance of a light name can exist in the scene, eg you can only have one "Light 4" in a scene. If you load a cr2 that contains a light with the same name as one already in the scene then the original one will be replaced by the one you load.