"extrude to smooth out a plane"
microbevels and yes, it's a common technique. the only true alternative is breaking up your mesh in several parts. but sometimes, that's not possible.
all built-in tricks like smoothing groups, applying different surfaces/materials only really help inside the 3d package you are workin with, as soon as you export it to your favourite real time engine, it will all be gone, save for the microbevels or upbroken meshes.
if max' smoothing groups are supported by some prgrammes, it's most likely an exporter thing, it probably interprets the smoothing groups as single geometry unit and exports a number of small, grouped, but not connected, meshes. wings3d does that, too, its "auto smoothing" slices the mesh open, and giving a nice flatshaded-like experience without shading errors.