Perhaps try doing something like this
Model/UV/Texture in Hexagon 2 -> Triangulate Model -> .obj -> Milkshape 3D -> Rig + Animate -> .x
The models I've done for my project have been done in a similar fashion, except the modelling was done in Silo 2's demo...now that the demo has almost run out, I'm switching back to my copy of Hexagon.
I did a very basic 3D modelling tutorial a while back, some of it was done in Hexagon, so it should give you a feel for getting started with it - it doesn't show you how to model anything in particular, but just familiarises you with useful tools in 3D modelling.
Linky
Also, once you've done that, you should be able to follow this other tutorial I wrote (that doesn't use Hexagon):
Linky
I hope this helps.