How do I export models?

I have multiple pieces (like a cylinder, a sphere, and a cube) that, together, make up a model. I can't export all of them together because they're not one object. If i collect two of the three pieces and group them under one piece, than when I export it, when imported it is only the piece that all of the other pieces were grouped under.

How do I combine/join all of the separate pieces of a model into one, in order to export the entire model?