While I won't argue that Max makes it a lot easier - Max is not essential to that technique. You can use almost any modeling package to get the same results as long as it supports objects or groupings.

Using simpler software like Milkshape, create your model without care about order or what not. Once you are done save out the various parts as individual models (save out hair as one, then body as another...). Once you have each chunk of your model saved out - open the most inside model (body in most cases). Next go to the Merge option and get your next model. It will come in in the proper position as long as you haven't moved anything yet. The software will reorder the vertice order adding the verts from the merged model onto those of the base model and avoid any sorting errors. Continue as needed untill you have all your parts back into the original model. Apply your UV map and export out to MED. Double check your texture alignment in MED (should be good - but it always helps to double check) and then Save out as MDL5 or MDL7.

Once you get it into WED with a 32 bit TGA you will be able to see that the z-buffer errors are almost entirely non-existant with that model anymore. They will still occur in certain situations, but as long as you disassemble your model like an onion and than put it back together from the inside out you will not see any problems in 99% of the models (a few unique models had problems due to their design, but I was able to redesign those to avoid the sorting errors in my tests).