Yes, your sins models need to be a single object.
To merge objects in XSI, go to the Create->Polygon Mesh->Merge while having both objects selected. You will likely need to dial the distance setting down to avoid distortion.
A better way is to prep your mesh objects prior to merging, by deleting selected faces on both objects and then snapping (press and hold Ctrl-M) the egde vertices together before you merge the objects. That way you get one tidy, continuous mesh.
That kind of a mesh is much easier to UV map and reduces the polygon count. The only reason you'd want a non-continuous mesh is when modelling structured geometry which does not really flow (like antennae or other such sharp protrusions.
