If you want to add different colors/materials to different faces on one single body then you have to differentiate the faces in SW before importing it to Keyshot. (Unfortunately Keyshot doesn't support "faces" like Photoview, so you have to assign different colors in SW first - then Keyshot recognizes them as different surfaces). Here is an example how to add different materials to a single body on part cube.
Right click in SW on the desired surface and select Appearance and Face
Choose whatever color you like, save the file and go to Keyshot
(optional step) Open the file and click Options and Scene. As you see you have now 2 body's there instead of one (if you didn't paint one side red in SW there would only be one body).
You can now drag and drop materials/colors on both "body's" that belong to one part.