well..
Best is to buy Milkshape, yes. I am a Metasequoia lover and so I made a test, (I usually don't make these kind of linked objects) .You have the Object Panel in Mqle, version which seems that you use. Work with it for this. It displays a list of objects. Typically just one. If you hit "new" you make a new object. Every face, vertex, primitive you add will be added to an object depending on which one u have highlighted on the list.
Ok, then I exported to Ultimate Unwrap (must say I have purchased this one, as well as Milkshape) as COB file (not x file). This mqle export makes it open there each object as a group. maybe easier for you as now you'd export as OBJ which Milkshape can import very well. There it detects as group, just in select mode set to select by groups. I made a very simple test with a bone with those two groups. It worked perfect. Anyway, I don't use to create bones there, even I use milkshape only as a helper tool. But you have it all there. I post this just in case you like Mqle as much as I do,(or did) for modelling.
But as you see it needs having Ultimate Unwrap also, or any other application to support cob (Truespace 1.0 given free in internet, ts3 give free by a Mag (much better), or some othe rocnverters) and export to something Milkshape can open. If you're not so in love with mqle, go buy Milkshape and stop suffering
My workflows are a bit crazy, I know.