When you have several objects on the arranger, one after the other, if you have no markers and export to an mp3 or wave file, you get one object of the entire arrangement. You do not need to "join" them in the arranger into one object, just abut them or do a cross-fade by overlapping them slightly.
I didn't try it, but you should be able to select more than one object by the normal method, holding down the Ctrl key and selecting each object in turn with the left mouse button.