If you import the object(s) into Bryce 4 first, each piece will be separate.
Save the scene as a Bryce 4 scene.
Open the scene in Bryce 5, 6, 7...
Click Select Mesh
Hold down the shift key as you click each separate mesh, that way the list will stay until you click outside of it.

You can also select all related meshes (i.e. those that have the same material) and assign them a family color.  That way you don't have to go back to the Select Mesh list again.  You just click on the color you assigned.  For instance, you could select all the body parts of a figure that share the texture map for the body and assign it a color.

An added bonus to having all the pieces separate is that you can adjust the textures for each part individually.  For instance, say your human figure is standing ankle deep in water.  You could assign a different specularity setting to the toes, feet, and shins to make them look wet.  Or say you have a figure wearing a shirt.  You could assign a Bryce procedural texture (stripes for instance) and then rotate the texture on the sleeves so they point in the proper directions.

You can also save your texture map, bump setting, specularity setting, transparency setting, etc. to your material library.  Then, for instance you could...

Import figure
Select body meshes
Assign family color
Assign saved material with texture, bump, transparency, specularity, etc.

Done