You are looking at a lot of work but it can be done. I do it all the time.
You need to start exporting objects out of 3d max with the pandasoft xfile exporter, for animated objects. xporter for static objects and entities. Every exported model should be texture mapped. they should also be UV mapped.
No opacity maps or procedural textures. everything must be real geometry that makes a keyframe. You can use reactor symulations and other things that generate keyframe animation.
I have explained a lot of stuff in this thread.
http://forum.thegamecreators.com/?m=forum_view&t=186489&b=24
Start by making your segment stuff. You can pick a stock segment from stock media and just replace the texture. most of the time that works out fine.
You can use entities as walls and stuff, Just make them static.
all entities and characters will be on a per object basis depending on how you need them.
Also wizard of id has explained a lot of his work in numerous threads. model and media thread listings, page 3. Click on wizard of id name in the originator section and then search for posts from that link.
This should get you headed in the right direction.
