Sorry for not answering right away, I wanted to try every possible solution. But, no. It looks that it isn't possible, even with some plugins. There is a workaround solution (importing in 3dsMax, there "glue" pivot points to every cog), but I was hoping to do everything in SketchUp.
We defiantly need a something like nulls in SU.
Thanks anyway. If you find out something, please share.

This must be something simple but I just don't get it; when I export model of, for example, clock mechanism, for use in external animation software, every cog must rotate around it's own axis. Of course. But, exported cogs from SketchUp are all tied to one pivot point, one origin for all models. Is there a way (some kind of "nulls") to export "private" pivot point for every model.
I am looking forums for hours and I can't find anything.
Please, help?