Hey there! We've been using nearly the same software I see, and since I have had that issue too when I started, I hope I can help you out.
Things I did to make things work, after informing myself and trying many times, can be summed up to basically this:
- Collapse -all- modifiers in every piece of your model.
- Working in 3Dmax, convert your model to Editable Mesh, and attach every other piece into the same object. They will remain separate as "elements" inside the Editable Mesh object, so don't worry about needing to edit them later.
- Prior to attaching, as a precaution, is good to make a pass of the Face Normal modifier over each piece (then collapsing it), to be safe that their topographical normals are all correct. Specially significant if you have cloned or instanced mirrored pieces.
- Make sure all polygons have the same Material ID.
- Make sure every polygon has been covered by an UVW modifier at some point, or created with UVW coordinates active (valid only if remaining as a basic geometry).
- When exporting to FBX, you'll want to make sure also that the only checked items in the exporting options are geometries and meshes. Disable everything else, like cameras, light, animations (even if your scene doesn't include any of those). A safer method, I've decided to use, is to simply click the "Export selected Object" path instead. This will make certain that only your single model object is included into the exported FBX file.
- Also, even if you aren't using them yet, I suggest creating every map the game expects to find, before trying to import. Diffuse, alpha, specular, normal, color, illumination. (d, a, s, n, c, i) Six maps per model. Just leave blank every one you don't need (with black, white or normal's base blue, respectively for each type of map)
I hope these tips help you... It's all I have gathered thru experience this past week.
( Edited because I forgot one thing )