Yah use my Gmax Exporter. It exports as a .obj. Then import it into max as a .obj.
Instructions:
Put script in your Gmax scripts folder,
Open Utilities, then click tab MAXscript,
Select the model and all the parts you want to export,
Open listener, Run script,
Copy and paste the following lines into a
text editor (ie..notepad), and save them as a .obj file.
Just make sure to copy everything from,
# -----------------
# Start of obj file
to
# end of obj file
# ---------------


Can be found here:
http://hce.halomaps.org/index.cfm?fid=2477