From what you have said you seem to be doing most of it right ;-), so its probably just a box you have forgot to tick. If you can make a blend file with just a cube,umwrapped an mats~textures on (dunno if you can post a blend here but theres dropbox etc) then I can see what bit you have wrong and tell you lol .

Once you  have uv mapped something thats it, its done! the map is saved in the obj on export(make sure the box is ticked~include uv's~ in the export options) , BUT if you make any changes to the mesh then it will need re mapping

You dont say if your using cycles or BI, the method of appying ~previewing is a bit dif and the end results will be a lot different, cycles is awesome but theres a few things it wont render(and you cant bake from cycles). Now exporting then importing to another proggy will always need the mats/textures "tweaking" it depends on the programs you import to, eg poser(P7) will have the name of an image texture but wont load it untill you go in posers mat room an reload it, procedual mats will always need a lot of tweaking 'cos all proggys do them a slighty different way

BlenderGuru has excelent tuts on uvmapping an materials

hope thats helped a bit