I mainly try to combine them, makes it hell to texture them later but 3DS Max works better with a high poly count vs a high number of objects. Many bolts are part of the same object but something like those shin pads are separate objects.
Hmm I can imagine it must be hell to texture them if they are all combined, but oh well, whatever works well in 3Ds Max I guess. 
Well the difficulty comes primarily from keeping track of all the individual items in the UVW editing window and having to render it out at a much higher resolution than normal.
Lol UV text editor is always a pain in the a**.