You have a nice 3d model built in AutoCad - now how do you get it into 3dsMax? Fortunately, starting with Max r2 you can now import your .dwgs directly into Max.
But how do you do it without errors? Easy.
From the File menu, select 'import', and open your file. Let's review the Import dialog box.

Here are the general options that seem to work best for me. Unfortunately you may have a few objects that don't get "welded" or "attached", and you may have to attach them once in Max. However most of these will be "shapes" in Max or lines. If they are not 3d geometry - you probably don't want them in your Max file anyway.
Deriving objects by layer is the only way to keep your layer names in Max. By color will rename everything to it's color code, and entity will really mess up your model.
Sometimes I turn 'weld' and 'auto-smooth' off if I get strange surface deviations, but this will get you more objects. Typically putting a smaller number in the ACIS Options gives you better surfaces (and more faces).
0.1 is a good threshold. If you really want to optimize, use a larger number for deviations .5 or 1.0, and with the 'auto-smooth' on, change the "smooth-angle" (the min angle to which everything gets smoothed to)
to a smaller number like 10 or 5 degrees. But this rarely gets you a good result.
That should get you most of the way. Each model will have different problems. You may consider importing smaller pieces at a time – especially if your computer is taking hours to import your model.
Also consider building some objects in Max. There are certain objects you just can't get out of AutoCAD.