The general way to connect multiple physics object together is with joints, but they won't give absolute rigid results. The way to do that is merge multiple shapes to one object, but neither the physics or chipmunk behavior provide that capability.
Why? Well the bundled physics is fairly simple what features it provides from the box2d library. With the chipmunk behavior I opted to keep things simpler by just keeping one shape per object because it's more useful in the general case.