To set materials in UV Layout Pro, you use the selection tools to isolate the polygons and then use Tools -> Assign To -> Material command. Just keep in mind that "groups" and "materials" are different (and overlapping) selections of polygons. "Groups" are what connect polygons to bones; "Materials" are what connect textures to polygons. It's easy to get confused the first time you rig a model.

Glad that the PHI technique works for you. I didn't originally recommend it because it's a somewhat non-visual technique, but as DarkEdge points out, it is a big time save when you have lots of bones and saves all the worry about matching names to bones if you use a tool to make your PHI file.