About Joining Meshes
You can select two objects (eg: body + face) and hit “Join” command (typically Ctrl+J) and then you will have one Object with one Mesh but it will consist of two parts. It means that now conceptually in your mind you have two pieces but they are within the same Mesh.
What you can do with meshes most importantly is not to join vertices\faces but keep them apart so you can distinguish them better. Avoid doing destructive editing in them because you might loose important UV texture or material information (unless it is really important to do it – but it will result into manually fixing any problems). Say for example you select a vertex of a body piece, you hit Ctrl+L and now you have entire piece selected, then you can move it around a little bit better. Keep joining pieces of the model together and moving them into position until the entire model is constructed.
About The Materials
Some times various pieces might share a common material, however other times each piece might have it’s own unique material. However if you join two pieces together (eg: you will join the face to that red uniform - the red uniform becomes the master object) you might notice that one piece might loose it’s material (eg the face gets the material of the uniform). To get it back right, just go to the master object (uniform), open a new material slot, and pick the correct material of the face.
Say for example you can get ideas how to work with these (unfortunately Blender 2.7 – but you might be able to follow it in terms of thinking – techniques are exactly the same):
In a new .blend file, import these pieces and do that exercise, to try to join everything into one object. You might try it 4-5 times from scratch to get it right, but do not worry if you do mistakes, is only about practice.
P.S. I am not mentioning the rigging now not to confuse you, but later on once you are OK with the model you can post an update here and move the process.