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.

hope this helps!

- Ben