If you make your 3D objects in 3dsMax, you can save your .max files directly into your Project or export them into Unity using the Autodesk .FBX or other generic formats. Unity imports meshes from 3ds Max. Saving a Max file or exporting a generic 3D file type each has advantages and disadvantages see class-Mesh
Using default FBX exporter options (that basically export everything) you can choose:
Embed textures - this stores the image maps in the file, good for portability, not so good for file size
Default FBX exporter options (for fbx plugin version 2013.3)
There is a procedure you should follow when you want to export bone-based animations:
When exporting a bone hierarchy with mesh and animations from 3ds Max to Unity, the GameObject hierarchy produced will correspond to the hierarchy you can see in “Schematic view” in 3ds Max. One difference is Unity will place a GameObject as the new root, containing the animations, and will place the mesh and material information in the root bone.
If you prefer to have animation and mesh information in the same Unity GameObject, go to the Hierarchy view in 3ds Max, and parent the mesh node to a bone in the bone hierarchy.
3ds Max’ Render To Texture and automatic unwrapping functionality can be used to create lightmaps. Note that Unity has built-in lightmapper, but you might prefer using 3dsmax if that fits your workflow better. Usually one UV set is used for main texture and/or normal maps, and another UV set is used for the lightmap texture. For both UV sets to come through properly, the material in 3ds Max has to be Standard and both Diffuse (for main texture) and Self-Illumination (for lightmap) map slots have to be set up:
Note that if object uses a Shell material type, then current Autodesk’s FBX exporter will not export UVs correctly.
Alternatively, you can use Multi/Sub Object material type and setup two sub-materials, using the main texture and the lightmap in their diffuse map slots, like shown below. However, if faces in your model use different sub-material IDs, this will result in multiple materials being imported, which is not optimal for performance.
If you have any issues with importing some models: ensure that you have the latest FBX plugin installed from Autodesk website or revert to FBX 2012.