I'd listen to MoP there. There is a script that automates this process, but it sounds like you're just starting out in Max, so it's probably in your best interest to learn the manual way, at least the first time through (like we all did). Best way to learn.
One problem with attaching is that you lose the individual pivot positions/orientations. You can easily re-center them after exploding, but it's a pain if they need to be in particular places for animation or physics or whatever. Here's the script I mentioned. I think it might preserve pivots, dunno haven't used it.…