Yes its possible, allthough i dont use 3ds max, i think that you have to get a plugin to export your files into .X format.
Or you can save it in a .3DS File and Import it to milkshape
And then Export your file into .X
Also you need to get the Entity Creator and Segment creator.
They can be found here:
http://www.fpscreator.com/downloads.html
I wish i coud provide you with a link, or tutorial how to use 3ds max, but as i said i dont use it, if you consider changin to sketchup,Blender or MS3D(MILKSHAPE) then i woud be able to help you further.
Just ask if you got any questions!If theres anyone else that need help using Sketchup or ms3d or bender ill be more then glad to help!
-Massap2
Beacause massa is the master!