I could probably help you, having written a MilkShape .x exporter, as well as a modeler, but I don't fully understand what you are asking. Is it just what objects to output?
Your best bet is to study a good existing file, and then make your exporter output the equivalent. The hard part is that the extentions for the skinned mesh format introduced in DirectX 7 are not really documented, save for the three new templates in the file itself. Why they did it the way they did, I have no idea, because it could have been done a lot simpler.
Basically the joint transformations are mapped to a "frame" hierarchy under the root frame. The "mesh" is stored one or two frames (mysteriously) below the root frame. The new objects serve to map the vertices to the joints. Perhaps if you have specific questions, I might be able to help more.
-John
John Thompson
http://www.jtgame.com/jtedit