I've found that ATi Rendermonkey and Nvidias Cgfx export very different types of .FX files. Even though I use a radeon 9800xt, I've found more success converting CGFX .fx scripts because they are more similar in layout to what 3dgs uses.
But, of course, a lot of the CGFX scripts use NV GPU instruction, so ATi users will have some problems.

I also think that cfgx is a lot better to use than RM, but thats just my opinion.