It is possible, I am sure about that.
At least on the Autocad 2000 that I have in use, there's a 3DS file choice under the "File/Export/Save As.." menu.
As I remember Oxygen can import the 3DS file format (+ Wavefront OBJ and Lightwave LWO files).
I once drew a simple vehicle model using CATIA. It was a long time ago, but I can remember that I used 3DS Max to convert the file so I could import it to Oxygen. CATIA didn't have the 3DS Export funtionality.
I didn't use Autocad at the time, but you could try it now and tell us how you succeeded.
No matter what 3D modeling program you use, you just have to convert the model to the right format.
Of course there's a lot of things left to do in Oxygen, but it's a good start if you can make the basic model fast with your favorite program.
Happy modeling!
EDIT:
To those who have CATIA at their disposal:
CATIA: Save As... STL
3DS Max: Import STL, Export 3DS
Oxygen: Open 3DS