The OBJ2CR2 utility will work fine for clothing but will not be the best for this particular model. I feel that the best way to proceed will be to first define the grouping using your own 3D modeling application or maybe UV Mapper, then write a hierarchy file and bring it into Poser that way. The Poser manual has a good section on how to write such a file.

Other helpful links:-

http://www.philc.net/ Use the left hand menu, select "Tutorials" > "Rigging". There I have a number of on line video tutorials explaining the rigging and joint adjustment process.

Hierarchy Builder.
http://www.philc.net/HierarchyBuilder.php
This is a utility that will help you write a hierarchy file. The page includes a full explanation of what each part of the hierarchy file does. Others utilities exist besides mine.

Hope that helps.