Autodesk Labs have developed a new plugin for AutoCAD, called AutoCAD Quick Send to 3ds Max. It is free and allows you to load .dwg files and drawings in 3ds Max directly from AutoCAD, without having to use the import command or the File Link Manager. If you use AutoCAD to build your 3D models and scenes, with this tool you will be able to transfer to Max all materials, lights and cameras, you have created. Transferred materials are suitable for rendering with Mental Ray. Furthermore, any changes you make to the file in AutoCAD automatically updates in Max.

I personally do not use AutoCAD for modeling objects, but I found this plugin interesting and decided to share it with you. From the video you can get a better idea whether AutoCAD Quick Send to 3ds Max would be useful to you.