You should be able to say export all floors out at the same time, all walls at the same time maybe room furniture by rooms. Special entities by them selves.
You could try and export the whole thing at once, But I would collapse as much as possible into the same objects to aid with collision. columns separate from walls and stairs separate. This is just easier for the engine to deal with when imported to it.
I also think about how this stuff is placed in the editor, It is a set and forget placement right now. It is hard to pick small objects or entities that are under larger ones, so that is in my mind also.
When making these and testing new entities I always use a test map, not the map that I am going to have the final stuff in. It lets you practice placing the object and testing it with out disrupting your good map. Once your happy and the model works then you can place it in you final map.
Hope this gives more insight.
