there is already a script to import smd files into Gmax, but it's got some problems. the faces are completly seperate from each other (meaning no smoothing for you), you need to weld some vertices, and reassign some bones .. ect. Unless you need the bones, the easiest way is to simply delete the bones and the skin modifier and smooth everything.
I'm sure that Gmax can import sd3 files. but since your milkshape has expired, you can't export/import anything, but you can still decompile, so decompile the mdl and import the smd. and make sure when you decompile the mdl to uncheck "animations" so that it only exports the mesh smd not the animation ones