It might be better to wait for Felix on this one. You can join two or more parts by selecting them & using the Part/Join Selected option (i key). Be careful not to make parts too big or you might have problems exporting the project. This could also result in duplicated parts, polys & points. Whatever you do, save the projects with separate parts first. You can also save the parts individually.

PS. Make sure the parts are completely finished before joining them. This will disable some features including Cross Sections making later tweaking more difficult. It might also cause problems with animation & texturing.

Generally, I don't cycle through the parts - ("N" and "P" keys  in parts mode), but select the parts/groups of parts through the <F3> dialog box.

Like Doug says, selecting and joining the parts works, but you lose the ability to easily texture individual parts.

If you want to move an "assembly", I would suggest that you link the component parts to the principal part and that way you select the one part and move it to place.

or you can create a dummy "hierarchy node" part (no geometry created) and make that the "named assembly" part, linking the cockpit parts to it.

As a suggestion, I would move creating the cockpit to its own model space - you'll probably use it as well to create the vc anyway.

I would copy and paste the basic fuselage only part (and even delete the unneeded polygons towards the tail, etc.) and set that as a reference part (not generated).  After all, you just want it as a place holder.  Your new model page can be a "main model" also, or just an 'inactive'.  that way you're working with JUST the parts you're interested in.  (Note that you can also accomplish this by hiding all other parts)  I like working a sub-assembly in a new page and copying the finished parts over to the "main" model.

The point is, there are several ways to do the same thing