"I've looked, couldn't find anything. There is a .X importer plug-in for Blender, but it's not perfect. You could go from that, export to 3ds, and open it in Max for extra fun."
This should work. Just make sure that when you get the model into 3DS max that you select all of your vertices and do a weld. That way you'll get a proper model and viewport display. Exported 3DS files have issues with keeping vertices together. Not Blender's fault though.
It's just an inherent problem with the format.
