3ds Max importing isn't actually all that great. It does not ship with a .X file importer (or, for that matter, a .X file exporter). The best method I can think of is to use a free or cheap tool like Blender or Milkshape to import X, export as COLLADA, FBX or OBJ, and import back into Max. Or you can use a tool such as PolyTrans, which costs real money.