I actually answered this question a gazillion times on the old board, but here goes.
There is something called "Gamepacks" for GMax. A Game-Pack (hereby known as GP) enables you to import/export models for a specific game only. Thus far there are not many games with accompanying GP's.
Quake III has a downloadable GP.
Flight Sim 2002 ships with a version of GMax and a GP.
Combat Flight Sim 3 will have a GP.
Anyway, the Quake III GP, known as the Tempest GP. With that you can do a work-around to get your models into .3DS format. Export them as MD3 (Quake III format) then use Milkshape to convert them to .3DS files.
The same can be done with the FS2002 GP. That uses .MDL format files, which is also convertible by MS. I think.
I know some people have claimed that there are custom MaxScript importer/exporters for .obj and other formats, but I've never seen one in action so I really can't say.
Oh, and where to find the GP's.
Tempest can be found on the discreet homepage.
FS2002 GP only ships with the game.
Same with Combat Flight Sim 3.