Modelling in anything would be easier than GMax. It has to have one of the most god-awful interfaces I have ever come across. I'm amazed people manage to use it to produce the things they do.
The script you want is Chris Cookson's Wavefront OBJ/MTL Import Utility for GMax v1.1. You can get it here (along with an OBJ exporter) - http://www.the3rdage.net/item-348?addview
To use it, do the following (pic provided below). Extract the zip file to a folder in GMax's Scripts directory. In GMax, click the Utilities tab (#1), then the MAXScript button (#2), then the Run Script button (#3) which opens a browse for file dialogue window that should default to your Scripts directory. Browse to importobj.ms and choose Open. Now in the drop down tab highlight Wavefront OBJ Import and click on it (#4), then click on the Import button (#5) and browse to your OBJ file. If you UV mapped it outside GMax, make sure that you have a MTL file and the texture in the same directory.