I believe the max exporter does actually automatically
condense grouped models into one model when exporting to sw3d - try
it. The result will be a model in sw3d that has multiple meshes.
To assign new textures to each mesh of the object in
director, you need to change the shaders in the model's
"shaderlist" property. Each element in the shaderlist of a model
corresponds to a particular mesh of that model.