Exporting STL with multiple objects

I am exporting a design for 3D printing, and it includes multiple objects. 

If I save each part as a separate STL file, and assemble them in my 3D printer software (Objet), the alignment of different parts is lost.

If I save it as a single STL file all the objects are grouped, and I cannot select them individually to assign them different properties.

I am using Autocad 2012 student version, and it does not allow me to select any option at the moment of exporting the files.

Any suggestion?

thanks!!

Stefano