A Collada or STL file by itself won't give you Gazebo links, you must put each "node" of your mesh into a separate <link> in your model's SDF description.

I recommend you first get familiar with links, joints, collisions and visuals in Gazebo. This tutorial should give you a good idea.

After you've understood those concepts, let's go through an example of creating separate links for each node on a COLLADA mesh.

Let's take the zephyr_delta_wing model as an example.

1. Open the collada file and look for <node> elements (they should be inside <visual_scene>. This is what they look like for the Zephyr wing:

   <node name="EnvironmentAmbientLight">
     (...)
   </node>
   <node id="node-Wing_Bone" name="Wing_Bone">
     (...)
     <node id="node-Wing" name="Wing">
       (...)
     </node>
     <node id="node-Flap_Left_Bone" name="Flap_Left_Bone">
       (...)
       <node id="node-Flap_Left" name="Flap_Left">
         (...)
       </node>
     </node>
     <node id="node-Flap_Right_Bone" name="Flap_Right_Bone">
       (...)
       <node id="node-Flap_Right" name="Flap_Right">
       </node>
     </node>
     <node id="node-Prop_Bone" name="Prop_Bone">
       (...)
       <node id="node-Prop" name="Propeller">
         (...)
       </node>
     </node>
   </node>
   

2. On our SDF file, where we reference the COLLADA file, if we don't choose a submesh, all the nodes will be used together. But if we want only one node, we can refer to its name. For example, for the propeller link we have the following:

   <link name="propeller">
     (...)
     <visual name="visual">
       (...)
       <geometry>
         <mesh>
           <uri>model://zephyr_delta_wing/meshes/wing.dae</uri>
           <submesh>
             <name>Propeller</name>
             <center>true</center>
           </submesh>
         </mesh>
       </geometry>
     </visual>
   </link>
   

3. Note how each link of that model has a different submesh and how they can be moved independently in simulation: