Just follow this heirarchy:
Yours currently looks like this:
This will create a single part turret when converted, which is obviously not what you want.
You're after this:
<= Object Group (highest heirarchy level)---
<= This Object is glued to....---
<= ....this Object Group on the same heirarchy level--------
<= This Object is glued to....--------
<= ....this Light on the same heirarchy level
To do that, make the Turret01-arm Object Group first - take the ArmGeometry and glue a light to it as a sibling. Then in the heirarchy editor rename the group
(not the light or the ArmGeometry - the parent group you just created) to Turret01-arm.
When that's done, drag the Turret01-arm Object Group onto the BaseGeometry object. This will make the ArmGeometry and it's sibling light child objects
of the BaseGeometry object, and you should end up with the heirarchy format you see in the above screenie (though as you did with the Turret01-arm Object Group, you'll need to rename it to something like Turret01-base.)
To attach your new turret to the hull of your ship, staying in the heirarchy editor, simply select the highest level of heirarchy of your turret (in this case the Turret01-base Object Group), and drag it over your main hull Object Group or geometry - just as you did with the Turret01-arm Object Group.
This will glue your new turret to the hull as a child object, which is as it should be.
And you're done.
If you're still having trouble, say so and I'll whack some demonstration pics together if you like.
Edit: Oops, missed this bit sorry: "opened the turret agin...My light's and axsi are GONE"
Errm, make sure you save it as a .scn file rather than a .cob. Beyond that I can't really help there. :\