You mean you want to put some sceneries behind polygons and some in front of it?
You can use arrange/level option for that:
Here you choose if scenery should be in front of polygon(front), in front of player but not polygon(middle) behind everything(back)
Then you can precise with scenery is on top of each other using arrange option:
Sceneries doesnt really mess with performances that much, so its better to just spend that few minutes arranging sceneries on map. If you have lots of smaller sceneries you can just merge them together, by simply doing screenshoot at 100-150% size and with plain background and disabled polygons, and then on graphic program(gimp/photoshop) just select that background color and remove it, you end with all those sceneries as one graphic, then you just trim image and put in game as one big scenery.