How to merge a bunch of objects into one?

I've made all my game models and imported them, but, I am noticing frame lag and I think that it's most likely due to the fact all the squares in each model are separate. I've tried ctrl + J but the problem is when I import it into unity certain faces are missing. I've also tried recalculating the normals and that doesn't work either.

Side note: I'm very new to blender, maybe a few weeks, so any other optimization advice would be great.

• Try converting your quads to triangles. Game engines usually like triangles better. However, for modeling quads are better in most situations. – 10 Replies Dec 12 '16 at 11:26
• I also tried this and it worked very well as well thanks for the advice! – Brett Micham Dec 13 '16 at 6:52