Hmmm....I'm going to have to tell the office that they left this tutorial out when they updated the site.:

 

http://poser.smithmicro.com/tutorials/Characters_grouping.html

 

http://poser.smithmicro.com/tutorials/Characters_rigging.html

 

These two tutorials should answer your question. Basically, you're doing it backwards. Load the obj, group the obj and THEN go to the setup room and put bones in the figure. The internal names of the bones should match the group names of the figure exactly. Exit setup room and edit joints.