Uuh! Good question! That's right. Never forget to mention the easiest part, because in 60 % of all situations it might be the problem.

You can 'connect' the action to the model with an ent_create as well.

///////////////////////////////
#include <acknex.h>
#include <default.c>

///////////////////////////////
var move_percentage;

action move_entity()
{
while (1)
{ent_animate(my,"move",move_percentage, 99);
move_percentage += 5 * time_step;
wait (1);
}
}

function main()
{
level_load ("testlevel.wmb");
wait (2);
camera.z = 120;
camera.tilt = -15;
ent_create("place_your_models_name_here", vector(200,0,0), move_entity);
}