Quote - 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

Unfortunately I did not save the .blend file I was practicing on, because after clicking on some of the dropdown options I could not find my way back to the point at which I had the unwrapped mesh pasted on the square UV map template. I know I should save often, but during the learning process it is something that doesn't get done like it should. Because I do not plan to keep practice files I don't normally save them. Also when I am following a tutorial, most of them never use the save during the video, and the document style almost never prompts a save either. My mind being on the task at hand pushes saving to the back.

I do know about exporting the UV map with the object, but there is a way to apply the image map to the UV map which pastes it onto the object. Once this is done, exporting the object should take the "skin" (as I call it) along with it. There are models I have downloaded that were created, UV mapped, and "skinned" in Blender which will import into Bryce, Hexagon, Wings3D, and DAZ Studio with all materials, textures, and decals in place. I know this because I have tested it. This is what I am trying to learn how to do. 

On the subject of Cycles or BI: I just recently upgraded to 2.63a and I am not to the point of learning about the rendering options yet. Also, the baking process is something I haven't any experience with. Is that something that needs to be done for a simple single mesh object, or is it for multiple mesh objects only? According to one of the tutorials the separate meshes are joined and then the materials and textures are baked. That part of the tutorial was unclear to me. I haven't found out what baking does yet. Perhaps I still have a long way to go.