I initially use .X models when I'm developing, then when the project nearers completion I tend to convert them using DBP to dbo files.
Most modeling software will include the texture file with the output and DBP should load the texture automatically assuming you put the textures in the right place, relative to the model file.
Its also possible to texture the object manually by loading an image and using the texture object command.
You can also move the texture to line it up how you want with the scroll object texture command.
Try it and see, and let us know how you get on.
Hope that helps.
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