I guess it would depend on the project but generally speaking you would construct the room within the game engine. If you choose to use Unity then yes, you would "make" the rooms in Unity.
Import the assets you made with Blender along with any textures you made into the engine of your choice, and start placing them how you want.
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Import the assets you made with Blender along with any textures you made into the engine of your choice, and start placing them how you want.
http://wiki.polycount.com/CategoryEnvironmentModularity