you have the option to weld either upon export or import (can't remember which one).

but one of the parts to being a good modeler is taking care of unwelded verts while you are still in the modeling stage (max)...it is boring and rather tedious but a necessary evil as well.

there are also scripts that can do that for you i think, but if you get into the habit as you go along it becomes part of the process.

you have a weld button in max and you can set the tolerance as well. try doing everything at once but if your model gets totally screwed up by that then start doing chunks at a time. this is all part of the learning curve so don't feel bad, there are many more curves ahead!

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