You’d have to be in poly mode and have one of the poly bits chosen. If you want to have all the parts (caps and body) as one object you will have to select them all and do a Functions/Connect. That will give you a new object with all the parts included (you can keep the old one and hide it or delete it). The parts in the new object are just all in the same poly object now, if you want them to all be attached to each other do an ‘Optimize’