Erm, that's actually supplied with DB, and is the best way to go from .3DS to .X - that's what I did - I made the changes in Max, then exported to .3DS and used Conv3d to convert to an .X file - works perfectly in DBPro.
I don't think you can use GMax to export .3DS, at least not legally anyway, 3DS-Max is about the best, yet most inconvenient method for adding animations to the alien.
I'm not sure if your allowed to totally wipe the animations, because if someone only has CharacterFX to animate with, they'll have to forget the existing ones and start with bones. The webpage states that you can add any animations you want, but does that mean the existing frames have to remain?.
I think though, that you'd be better off having the weapons as seperate objects that you glue to the hands with code, means easy weapon changing and less messing about - you just gotta look into the GLUE OBJECT TO LIMB command, get hold of some nice rayguns, and experiment a lot until it's feels right (ancilliary weapon model pivot points are the key to neat limb gluing).
Van-B
My cats breath smells of cat food.