I've been tinkering around with a model I've made and I have now come across this problem. As far as I know, there is no way to UV unwrap several objects at once and have them in the same texture file, and from what I've read, it seems I would have to join all the vehicle parts into one object and unwrap it afterwards, but since there is a large number of parts, it could get a bit confusing to separate them again one by one. Is this the only way to do it or is there something I'm missing?
I'm just learning this stuff myself. What I do (and keep in mind that this might be completely wrong) is unwrap a single part, bake it, and save the image. Then, when I go to another part, I just open that saved image. This way, you can always see where everything else is mapped. Merging everything together into a single part then separating it would be way too tedious.