As in FSDS, you can either cut out parts or form them in place.
In gMax, you're looking at either your boolean operations, or selecting the appropriate polygons and detaching them as objects. Of course, SAVE your work before starting any cutting/detaching process.
If you've already made the parts in FSDS, take care that you name them correctly from the "git-go".
Basically, I'll ask Bonzonie, x_eidos, or any other to chime in with additional details on how to do the cutting/detaching.
Other tutorials (especially on Boolean operations) can be found at the Freeflight Design Shop's Tips or Tutorials Sections
http://www.freeflightdesign.com