Yeah max supports unwrap of multiple objects. You don't have to combine them. At the end, you generally want to have the less objects possible, because parsing objects is ressource consuming for a real time engine. But when building your model, you do whatever you want.
It depends on your workflow. I prefer to keep it all seperate. Even for game assets I only combine seperate meshes in the end. I don´t know if 3dsmax supports the unwrapping of multiple objects at the same time. I use uvlayout and it simply unrwaps every object I put in and I got them back as seperate objects in softimage…
I look forward to them! ;) Asking questions is how we learn! Personally when I have a complex object like that, I start with them as seperate components. Then I apply the same material to all of them (even if it is a temp one to start) and then I unwrap each part separately, move them on the uv map to some corner, so that…
I'm a little confused by the question. Apply the texture to each part? If you combine the object using Mesh>Combine (or it might be edit mesh>combine), and apply the material, they will all be using the same texture. Then it is just a matter of adjusting the UV layout.