MCX is a very cool gizmo- I'm using it as an all-around compiler, even managed to pull off a (just acceptable) simple aircraft model from scratch with sketchup/FSDS/MCX.
Somewhere, there is a thread- model converter X questions and help, I think; you'll have to do some searching. That'll get you started.
The alpha TSR.2 gave me some problems with the drag chute- the door isn't on an animation or a separate material, so I couldn't find a way to manipulate that- ended up with the door hanging open, couldn't even sand it off... unless somebody else found a work around?