Make sure your objects are editable poly. Under the Edit Geometry rollout in any of the editable polygon objects, you'll find an "attach" button, or "attach multiple" directly next to it, represented by a small box button. You enable attach, then start selecting all the other objects you want as sub-objects to that object. Once that's done, you will be prompted to merge the UV maps, or create a multi-subobject material, with each subobject. You will need to edit the UV maps later to position the islands and pack them into one map.
Also, if your objects need to be one model, you may need to weld the verts together after attaching, which will screw up your current UV mapping. That's something you need to consider before you begin modeling and attaching objects, and unwrap the whole thing at the end. That's a workflow consideration.
