I'm in no way an "experienced" modeler, but I know my way around importing things to amnesia. I use Maya for modeling too, so I'm unsure wheter 3D's Max will work without trouble :>
Anyway:
1. From what I've gathered 3D's Max uses Z as "up", While Amnesia and Maya uses Y as "up". This is the reason why it might be trouble.
2. The rig should be constructed solely of joints, amnesia cannot handle constraints or IK handles.
3. The maximum number of vertices bound to a bone is 4. Any higher number will cause a crash.
As this is something I know little about I would suggest you start by creating a simple "trial-skeleton" and animation to it. In that way you may observe if it exports correctly.
This is a guide a wrote to newer modelers but you might be it useful:
http://www.frictionalgames.com/forum/thread-11448.html
If you have any more questions I'll try my best to answer them.
Good luck to you! Happy to see new modelers modding Amnesia :>