Not sure what you're doing exactly. I'm assuming you have a custom figure mesh that you're trying to rig in Poser before exporting to use in Unity?

If so, it pretty much sounds like you're on the right track. 

One thing though, letting the setup room create all your groups and bones for you isn't usually the best idea. Sometimes it might produce good results, most of the time it probably wont, at least not without some major refining. Creating your own groups and then entering the setup room is usually the best approach, since it gives you the most control over exactly where everything goes. 

Usually, borrowing another figure's rig to drop into the setup room is best for when you're creating clothing for that figure, not a different figure all together. 

For a step-by-step basic rigging tutorial you can follow this one:

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

 

Getting the figure out of Poser and into Unity is an entirely different beast. 

Here's info on COLLADA in Poser:

http://poser.smithmicro.com/collada.html

There's not a lot of info there, but it's a starting point. 

And here's more info on COLLADA itself, which is also linked to from the Poser COLLADA page link above:

https://collada.org/mediawiki/index.php/Portal:Products_directory

Knowing what version of Poser you're using, and what OS you're using, would be more helpful to others who might come along with more info for you.

 

~Shane