Gmax should be ok, as long as you can get it exported to .3DS or .X. 3DS Max is actually the best program for this style of animation, but I expect CharacterFX can export hierarchy animated objects too.
You need to centre the pivot point on each limb, I think it's the 3rd tool window thing, look for a screen high list of wide buttons, and especially for 'Affect Pivot Only' or something like that - then with that selected, you can move the pivot point of each limb - centering them all on their objects first is a good idea.
Van-B

Muhahahahaha.