The .x files will work, but not the .dds files. And then the .x may not appear properly depending on the format. Another thing to be wary of is that all the models in 3d Gamemaker are copyrighted, and not free for use in games.
If you need a character maker thing you can get DarkMatter or there was a program called Character Studio FX or something. For a straight free 3d modelling program try trueSpace3.2. You can find it on Download.com, then go to Caligari.com for registration.
Crazy Donut Productions
Current Project: KillZone