Bill, in order to export an aircraft to XP you would either need to use AC3D or Blender. These are the tools of choice for exporting to XP and export scripts will be available.
I recently made the switch from 3ds Max to Blender, and I am really happy with the new interface and functionality, and the best of all, it is free. Actually, it is almost unbelievable that such a tool is available for free.
In order to get your aircraft from Gmax to Blender or AC3D (which is also not too expensive) you would need to export in a format one of these programs can read.
I am not familiar with Gmax, but can you export as a .3ds file or .obj file? If so, you should be able to import your mesh into Blender for example. However, I am not sure if you will have a clean import. You might have to clean up your mesh and work on smoothing groups again.
I few months ago, I was at a point where I had to make the decision to develop for FSX or XP. I even bought 3ds Max, but finally decided for XP and never looked back after it. After giving XP a fair chance, I fell in love with it and being able to use free tools is even better and I am sure XP10 will raise the bar even more.
Pete