Go in the Materials Tab first thing
Then you can create new materials and assign Textures to those materials. Beware that the model will NOT SAVE the textures, more or less it will save the texture's link LOCATION. So you might want to prepare a folder in advance to put your model/textures/.cs file/other stuff in. You'll need to in order to package all your stuff anyways.
Then, you can select any shape and assign any material to them.
That's the gits of it, apart from that I have no idea how to reposition textures on shapes or how to make shapes transparent in BL using MS3D
