I did this earlier for a quick animation. I had success by exporting the entire assembly to a single STL (it froze up if we imported too many STL files), then opening that file in Blender and applying a decimate modifier (because we had well over a million polygons).
We didn't need color, but maybe you could select each part by CTRL-L and use vertex groups to assign materials?
Also, when you decimate, go nuts. I think we used 0.05
