Convering .max -> .mdx(.mdl)

I just need to know 2 things: How to add an in-game skin to a model in 3ds max (already know how to extract). And how to convert the model from .max to .mdx or .mdl

You need 3D Max 5, then you can use the Art tools which serves to export to mdx.

Otherwise you have to hunt for inefficient Maxscripts which will give you more grief than pleasure.

Export the textures you need and apply them normally - then you need to edit the path for the model via mdl.