how i do it is... texture objects just by setting it up in the material editor... and drag-drop... set up corrent UV's... then export to X... and works fine for me...
might be the settings for the X file... or could be if your not selecting the objects correctly... havent worked on anything for awhile... but i think you have to select all objects... then use "export selected" for it to work
if that doesnt work... select a main object... then append all objects to that one... in essence to make it one object then "export selected"
==Main Computer==
Athlon XP 3000+, 1024mb, Radeon 9800 Pro 128mb 8xAGP, XP Pro