add a bone to it and assign it than you can use it as an attachment or use notepad to add a spinner and particle effect to it..i think there is an explanation as of how on here but you will have to search.
you first have to UVW unwrap your model so you can texture it. Then I don't know how to get it out of gmax to warcraft. But the UVW unwrap is necesary. See if there are some tutorials about this in the tutorial section, 'else look at http://www.3dtotal.com for tutorials. That's if you don't know how to unwrap.
just name the bone "Bone_Root" and move the item so that the place from where you'd like the item to be held is at the center of the axis (o, o, o). The position of the bone or of the pivot point dosen't matter.