It is possible.
First of all you have to decide if you want to build your level from models or BSP-based.
Both methods have pros and cons.
You could use GameLevelBuilder to export a *.map-file from Max (BSP) or Max2MDL to export your level as a model.

Be aware that it won't be possible to build your level in autocad, import in max and export the whole stuff as a *.map-file without any further treatment.
If you want to build BSP-based levels in max you got to be familiar with the bsp-rules and work very accurate, otherwise you will spend hours searching damaged blocks in WED.

Since A6.4 can handle poly-exact collision (and BSP-based levels are quite restricting regarding geometric requirements) I would suggest to export your level as a model using Max2MDL and use Matt's SphereEngine for softshadows or bake your textures in MAX.

From the A6 manual:
"The default OBB collision system uses either oriented ellipsoids versus a polygon hull, or oriented bounding boxes versus oriented bounding boxes. It does not require a BSP tree level and can use any box sizes. However it is more CPU intensive than the AABB system."

The whole process will be much simpler when octree comes one day...