Yes. There are folks who use other programs to create the model, most end up importing into gmax or fsds to finish up the non-modelling parts - animations and textures.
The ideal way would be to export your fully animated and textured model to an x file, and use makemdl directly.
Alternativley, make your model in AutoCAD, export as a dxf file and then import to gmax (or FSDS2) to finish the animations and texturing.
As an aside - the "recommended" process is: model, texture, animate.