It is painful in GMAX too, but I agree it is a bit easier than Sketchup. You do get pretty fast once you've done it a few times. There are Sketchup texturing tutorials out there that include more sophisticated techniques (my tutorial is just for beginners), but AFAIK they all use this interface.
If you are going to do your texture mapping in GMAX it doesn't matter, but if you want to keep what mapping you have done in Sketchup you should export with Materials. Then after exporting the 3DS file using MCX, you can import it into GMAX.
Some tips:
1. Import the Sketchup file into ModelConverterX.
2. Export model as a 3DS file.
3. Copy any textures used and place into folder with 3DS file. Convert those copied textures to 24 bit BMP with DXTBmp. You can get a list of textures used by that model in ModelConverterX's Material Editor.
4. In GMAX, File/Import/3DS, browse to your new 3DS file.
5. Open Material Navigator (3 colored balls button up top).
6. Choose From Entire
7. Double click each material with a texture, click each Map (texture) that starts with ~ and browse to the real one, and click the blue and white checkerboard box (displays texture on model). Close Navigator with red X. Your model should appear fully textured.
8. Select all objects using the parts list (h key, Select All)
9. Add an Edit Mesh modifier to the stack on the right from the drop down box, open it (black +) and choose Vertices mode.
10. Edit/Select All
11. From the stack, scroll down and press Weld Selected, with setting to the right at 0.005
12. Right click the stack, and choose Collapse All, click Yes at the warning
13. For any objects that need to be smooth (cylinders, spheres, etc.):
a. Select them in the parts list (press h) or Ctrl Click on each one in Select mode (arrow button up top).
b. Add an Edit Mesh modifier to the stack
c. Click black + and choose Polygon mode
d. Edit/Select All
e. From the stack, scroll down and choose AutoSmooth (or smooth manually if you need to).
f. Right click the stack and choose Collapse All, say yes at the warning.
14. Save the object as a GMAX file.
15. Edit the model as you like. Do not use the Mirror button at the top - instead add a Mirror modifier to the stack (use of button displays incorrectly in FS).
16. Save any changes with a new incremental number (GMAX can do this automatically in Settings) - it has a bad habit of corrupting files.
17. Now your object should be ready to export as an MDL file, using the MS SDK of your choice.
Hope this helps,