The easy way:
Click one piece, click another piece, press CTRL+J. Click the main (Grouped pieces) piece and repeat for all the pieces.
The way I don’t know how to do correctly:
Parent all the objects to the one closest to the center. Click “Compound” in the bounds section on the center one and click “Add to parent” in the bounds section on all of the others.
Set all of the objects at “No collision” in the logic window. Create a box object that is the approximate shape of the objects. Parent the objects to the box, put them in the box just right, click the box, click “Invisible” in logic and Triangle Mesh if your object has holes or Convex Hull if your object(s) are simple enough.