FEMAP doesn't recognize assemblies as such. You can do a number of different things. I would suggest you define all of your materials and properties up front. You should have a property defined for each component (some suggest you should go so far as to have a unique material for each component, but that's a bit much). Create a group for each part in your assembly. If you imported your geometry, you can do this quickly by choosing GROUP, OPERATIONS, GENERATE SOLIDS from the menus. Then, in the model info pane, expand the GEOMETRY tree, and right click on the first solid in the tree, then choose, ATTRIBUTES. Pick a property to assign to that solid. Repeat for all of your parts. Now when you mesh them, FEMAP will automatically assign the properties you chose to the mesh for those parts.
You can create the properties and materials on the fly by choosing to mesh a solid, then when the first pop-up menu pops up, click on the little icon out to the right of the properties field (it looks like a cross section of an i-beam), this will bring up the property definition menu. To the right of the material field, you'll see another little icon. Clicking this will take you to the materials definition menu, that you're probably familiar with.
I don't prefer the on the fly method because it can lead to sloppy models. I prefer to plan my model out before I begin defining it. I define the materials and properties up front. FEMAP allows you to add your own materials to the materials library (or even create your own library if you prefer). If you have a materials you use regularly, I would advise you to save them to the library to make them quickly accessible.
If possible, it's also of benefit to apply your boundary conditions to the geometry as opposed to the mesh. That way, if you end up remeshing you won't necessarily have to redefine your loads and constraints.
I hope this helps.