Strange, it should show at least some colors. What format did you convert it to ? (probably it has no materials support)
If you want nice models, just like those in the game, only way is to save models into LWO6+ format, and to load it in some program which fully supports this format (like Lightwave).
Else it should save the models at least with flat shading materials.
And textures are supported only for LWO6+ format at this time. Sorry for that.
im working on newer version which supports .3DS textures, better export for .OBJ, but its not tested enough yet so i will release it later.