The whole point of GMax means you cannot do that. There is a whole different SDK needed to write stuff for GMax exports, and it is not available without paying for it.
GMax was free, with the intention that game makers would pay to licence plugins to allow their games to be modded. The cost per plugin was around £10K ... nothing for something like an Unreal Tournament level of game... but significant for a smaller developer. This is why it was never as big as it could have been.
Import wise, it works with standard Max script...but there is no way to make any kind of exporter. They don't mind you loading stuff into it...they just don't want you to export it.
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