Attaching multiple skeletal meshes to hand socket

I downloaded a free handgun model just to practice, I imported the skeletal mesh and it came with 4 different pink files. 1 for the Clip, Trigger, the handle and the slide… I was watching a tutorial on how to connect a gun to the character and I understand that I need to create a socket in the character skeleton and attach it there but the problem is that my gun is in pieces… How would I go about merging the 4 skeletal meshes into one? Would I do it in maya or 3dsmax and then import it again?