How to add pre-existing scenery into a building selection

-Select the "Multi Selection" tool (right-down side)
-Pressing the CTRL key on your keyboard, select the building and the scenery items
-Select the second icon from the menu (right-top window) "Add standalone scenery to selected building)
-Now all the pieces comes together as one item/blueprint
-Note that it doesn't work if you have a ride selected. I often get the ride selected along with my scenery, so you need to de-select it, and then the option to add will appear.

Here's a video that shows the process in work.