I'm guessing, although i'm not an expert, that you'll need to build a custom converter program to convert model files you build in 3dsmax, unless you have the sony developers toolkit.(which
was leaked onto the internet at some point, but is VERY illegal to have unless you are given permission by sony.)
There IS a program, written by MrAdults, an ex-member of this forum, that can convert models FROM this format to either .OBJ or .SMD, which you can search for in the tech-related area of this site.
the GMO specification is
documented here, if you were plannig on building a converter. i dont know how complete it is.
And i've just realised that telling you all this is possibly against the rules now. if a mod sees this and feel's i've broken the rules, feel free to delete it or whatever.