HI, I just didn't find it anywhere... Maybe I'm blind or something. Just please, could someone help me with this? Otherwise, I always has to import it to blender then join it and export to SimPE. It's quite annoying, and I believe there is easier way direct in 3Ds MAX.
If your object is converted to Editable Poly or Editable Mesh type, when it is selected, on Selection rollout there's Assign button - you have to click on it, the click on object you want to attach. Alternatively, you can click small button near it, with 'Attach List' tooltip, and select objects by name.
You can also hit the tool tab, choose "collapse" make sure "To single object" is checked, and also make sure all the items you want to be seen as a single item are selected. Then just hit the "Collapse selected" button.