You can do this using Maya or Max + Ventilator's MDL splitter:

1. Export your file from max/maya/whatever as you like. You can output clean .ase files from max/maya using actorX, then convert it to .3ds with deep exploration.
2. Import the .3ds/.x/etc file into Med 6.40 (-not- older versions)
3. Save the file from MED into an MDL file.
4. Drag that MDL file into Ventilator's Mdl_splitter app. (search forum to find it)
5. A wmp is created by Ventilator's app, with all the MDL's in proper places and ready for use in WED.

It's kind of odd that you have to import multi-object files into MED then bust them open with Vent's great little app. MED really should offer the ability to crack open a multi-object MDL into a WMP anyway. Note that MED will -not- retain the names of the multiple objects, so after steps 3 and 4, the models will all lose their unique names.

Assigning actions to those objects from within Maya or Max is another matter. I've been working on a little java app to modify Vent's wmp files by looking through the .ase file I used to create the MDL and then automatically modifying the names and actions in the wmp file. It's still a bit of a pain but works. I can make this little java app thing available if interested. It'll only work if you start with .ase instead of .x files.