Just found this topic (not sure if your problem is already solved?).
Anyway, there is a little program called 'P3D2OBJ'.
Apperently a lot of the old links are dead but this one works (not sure if latest as it said BETA)
As far as i know, Max allows .OBJ formats. But note the model you want to import needs to be ODOL or was it MDOL (always confuse myself :p).
Anyway, in the end i still use the (old) O2. Used to model with Max, but since in the end you still needs to run over to O2 (to set the selections etc..) i started using O2. In the end i personally find O2 very good. It has it limits (some tools but hopefully they will be added in the new version), but it is perfect for low poly modelling. Atm if you want to use O2 you need OFP installed to run bulldozer (the previewer).
But offcourse you can use Max or any other pro-tool. It is just a mather of how you use it ;).
Hope it helps a bit. In case you have more Q's, i would suggest to have a look at BIS forum in the OXYGEN section.
@Fox: LOL, my first model (well for OFP at least was....) a carrier! :p. It wasn't perfect (due to OFP engine limits etc)..but it made it into the game (->'Hawks' :s Nimitz that is ;)).
Hm apperently my URL links didn't worked, so i removed the codes.