Use the latest fbx exporter for max, export as fbx 2010. Then use the fbx import function in WED. Done.
You can even place lights and dynamic models in max, they'll make it into wed aswell
Also (if you have them), lightmaps + 2nd uv map will be exported as well. If you have lightmaps in max, USE THEM! In all my tests, max lightmaps were A LOT faster than WED generated lightmaps. (450 fps (max) instead of 15 (wed) ). No idea why this is the case, but give it a try if you think fps are too low.
