I am not a max user, so I may have to defer. Also, I am not sure if you are asking for Armada, or SFCIII.
For SFC III, you just export your ship like normal, with a texture, and a light map. Then, the SFCIII engine always uses alpha maps for tranparency or translucency. "Transparency" is best used in the main texture. Alphas in lightmaps or damage maps are sorta pointless.
In Armada, I believe you have to tag your texture as "addative_texturename" to get it to be translucent/transparent based on the alpha. But I am not sure about that. I use Milkshape for both games and I always have to refference the Armada pluggin readme to get it right.