Also, immediately after you go to the setup room and apply the rig, when you return to the Pose room the new figure becomes unwelded.  Save the figure to the library, start a new document, and re-load the figure, and then the geometry will be welded.

edit: You'll want to know this for future work in exporting/importing between Poser and other apps:  Poser splits the geometry in the OBJ file into separate chunks for each bodypart.  If you're going to try to pass a figure in and out of other apps for things like making morph targets you need to be aware of this (if you use interPoser Pro it handles this welding business automatically with no thought on your part).

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