To make them one group you have to weld them together. There are two most common ways to do it:
-Two objects have to be next to each other, face to face, both faces have to have theyr wertices at the same place like oposite wertice on other object face. Faces must be identical.
Select both objects and use weld command.
-Select one face of one object and one face of second one and use bridge command.
...bit complicated

(its becouse objects in Wings have to have theyr surface closed)
if you are not satisfied, then export your model for example to Milkshape and regroup it.