I'm "pretty sure" that GMAX/makemdl.exe does this for us already. Back in the olden days when I still used SCASM, it seemed to help our framerates when we combined all our parts into one big object, but I think I only stumbled across that idea after reading about how makemdl.exe worked. There's a similar thread here somewhere about making fences. The question was whether it was better to make one small section of the fence, and then export it and call it from the XML file many times, OR, simple build the entire fence as on large part with GMAX. Again, in the olden days, it was better to produce the small part as a library object and call it many times, but I'm not sure if that still holds true today.
In any case, I guess it wouldn't hurt to try and export you model as one big piece, as long as you keep a backup of your original .gmax file.
- Martin