Its quite simple actually. Any tool with multiple subtools has those subtools available when converted to IMM. All I did was individually import the objects into ZBrush and then append each object together in one tool. Create IMM brush and while that brush is selected, hit the keyboard hotkey M to bring up the window to select from the various subtools. No biggy.
Now if that is confusing, let me know. I’ll make a video.
Here is another IMM and I am proud to say its 100% ZBrush. Started with a zsphere object bent 90° and the rest was transpose modeled. I was making a video of the process but the first half of the recording was lost (capture software crashed). 
Oh well. Enjoy. Its very low poly. The preview image shows how smooth it gets when subdivided.

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