You cannot save the poses of multiple figures in a single pose file

You can however save the figures together in a single file in the library

Parent each of the figures to another figure, then you can save the parent to the library including all the figures.

I often use a null figure to parent the other figures to

Creating a null figure is extremely simple:

Load a box (or other primitive) Go to the setup room, click ok for warning Now leave the setup room, click ok for warning Now you have a null figure

Parent the other figures to the box (and make the box invisible if you want)

Now save the new figure which was made out of the box to the library and keep attached figures