I was fiddling around with cloth physics in blender and tried to export it with the baked physics animation.
Neither with exporting it via fbx nor exporting it with ventilator's exporters to mdl does work for me.

Is there anyone who tried it yet?

Here is a link to the related blender page with example blend files:
http://wiki.blender.org/index.php/Doc:Manual/Physics/Clothes

I used a similar file to the flag example.

EDIT 2:

Just tested the examples on the mentioned page, and they are very slow.
Google for "continue_physics.blend", that's a blend file that is fast and easy to test the animation and baking etc.