I would export the subtools as obj´s, import them to a 3D software like maya; then apply different materials for each obj, then select all and export as fbx
now SP will give you a texture set for each "subtool"
I wonder if there is a way to prepare a zbrush model to be treated the same way in SP. Would be nice, if we could apply different polygroups or materials in ZBrush, and then let SP recognize them the same way it does when using the worfklow described above.