I don't know how much wisdom I have...less and less some days, but I will throw out another idea...
I haven't had to deal with more than a few layers and so saving as an image has never been an issue. Try grouping the elements together as you build the 'object'. In other words after you have added a layer/object to the base layer/object, group the two
together before you add a third, and then group the third to the original group before you add the 4th etc. By making sure each added element is grouped with the group as you build your 'object' then perhaps by the time you are done you will be able to right
click and save as an image as you want.
If you find that works, it may be that you can group 4 or 5 layers together, then build a seperate object of 4 or 5 layers grouped to together and then drag that one on top the first group, arrange and group. In other words do things in batches.
I suggest a variation of this work flow because if you have 10+ objects you are layering, then obviously you are not able to group them all together by conventional means if some are left behind when you right click save as an image.
By the way, as J brought it up, I assume you know that you cannot group elements that are on the Master page with elements that are not...
DavidF