No you should save your source work in MS3D format. Always Save first then attempt to export to X format, then do not save, simply reopen your previous save. Don't keep any changes that the Exporter makes to the model inside of Milkshape.
There's a few reasons for this. It can play with the smoothing groups. You need to delete any additional textures beyond 1 texture, otherwise texturing the object in DBP won't work, the object will remain white. Extra textures are common, for example you might have a model with an attack animation, and to make modelling easier you might add temporary prop weapon in to assist with creating animations. You cant easily revert these changes, so save then export and then reload the save.
Always before exporting turn on auto-smoothing select everything and do a full weld. This should correct any weird shading/smoothing seams, and any incorrect normals. Always turn back off Auto Smoothing before exporting or it will screw up the shading on your model. You will see seams in the final product. It's easy not to notice this at first.
If you create all your animations, then zero the joints outside of animation mode, the reference point for all your animations will be wrong and your model will garble and contort oddly when animating.
As far as your specific question is concerned, you might have zeroed the joints, or rotated them causing your animations to be ruined. It sounds like you said that the animations aren't animating properly in Milkshape.