Ok, so the way I would work this is to create it in Rhino, export as DXF into Gmax and then save and place directly into FS?
The path of least resistance would be to create in Rhino, export as dxf or 3DS, import into gmax and finish there the animations, texturing and export to FS.
dxf export will not (as I understand it) support transfer of animations and UVW mappings.
I'm not sure if exporting to 3DS and importing to gmax retains UVW mapping information and animations.
However, if you can do animations and UVW mapping in Rhino, doing it in gmax should basically be the same principles, and picking up the details - which buttons to click, etc.) should not be a problem.