I was a bit stuck to when I planed to create my own models for FPS. There are quite a few posts relating to this matter if you use the search at the bottom of the page then just try MAX, or EXPORT etc. I know Devildog wrote a great exporting tutorial for objects
http://forum.thegamecreators.com/?m=forum_view&t=56023&b=24
Characters are more complex and I'm not sure if there is a tutorial for doing them yet altough there is a brief tutorial on the Panda expoter on the fps SITE. When you come to export your model you need to export it as a .X file you may need a plugin for max 8 if it doesm't support that file type out of the box.
3D Artist.