Yes, PJF’s suggestion in using the CTRL button is your best option, however, some times when an object has many parts, and has become ungrouped earlier on in your project, it can be quite tricky to re-group all the parts again – particularly if they are buried within other object meshes.
In such instances, I find that using the Shift button in lieu with the CTRL works best. The steps would go like this: first, hover your cursor over the object part you want (as PJF says) using the CTRL; second, now click again on another part related to the same object where the list again shows up, however, this time hold down the Shift button and choose the part from the list presented. You’ll see that both parts are now grouped when the Shift is used, and you can continue to do this (that is CTRL, Shift, CTRL, Shift…etc.,) over and over again with all the other parts of the initial object group.
Cheers
Jay