If you want to keep them as separate pieces that load together, select one of the parts, then in the library, click on the plus. When the window pops up asking for a name, click on the select subset and select all the room parts you want saved together. You might want to parent them all to one part before saving for easy positioning later. I recommend this method as you can hide parts of the room as needed for posing.

If you want the room to become all one piece, files>export>obj select all the room parts and export them then file>import>obj and import the file. Then save it as a prop like above without using the subset button.

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