You can assign various faces to different material IDs and then use the ID selection box in the UVW Unwrap window to toggle different material ID groups on and off. If have never used this feature - I simply separate my object into logical sections and unwrap each by itself. Once a piece is unwrapped, I drag it off to the side and begin on the next. Then I re-attach all the pieces into one object, go back into UVW unwrap, and assemble their unwraps into the texture square. Alternatively, I might do a flatten mapping on everything at once and then begin the laborious process of grouping and stitching. Better yet, I use Roadkill to unwrap stuff and then bring it back into Max and fine-tune that unwrap.
But if you want to do it your way, here is where you find the material ID selector box (Max 2013):