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There isn't unfortunately an export format for Gmax that the game can use. In theory you could model in Gmax, and send it to someone with 3dsMax to convert. I think there might be some draw backs to that, I'm not sure if package is quite the same or if you can view textures on models properly in Gmax - and of course you still need access to someone who has 3dsMax!
i have gmax as well so if u just save the file as gmax then i could do all the rest if u want ( would only take a couple of minutes )