What is the best course of action for a model that is split into parts?

[Fawfulthegreat64]

For example, I'm currently looking at the model for Super Dimentio in Super Paper Mario. Each piece of him is its own model, the head, body, each hand, feet, and the segments that make up the arms, legs and neck are another model (of a single segment, the model is simply repeated a lot in-game to create the full character). I know some characters in games like Smash Bros have props that are included as separate models, but I'm not sure what the protocol is for a single character whose body made of multiple models. Do I assemble them in Blender and export the full character, or do I have each piece as its own model?