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Object creation is very similar in every 3D program, please have a look at the gmax chapter as well.
If you are done with your object and are ready to export it, first of all, go into Object Mode and press [Ctrl + A]. Then select "Rotation & Scale". This will apply all your rotation and scaling. It might also be required to apply "Location". Now you can export either as X or 3DS.
To export directly to Pandoras Box simply choose "File->Export->Direct X (.x)". You might have to activate the plugin first (see image):
The Warper, may as well import files saved in the 3DS format. Choose "File->Export->3DStudio (.3ds)" to export a 3DS file. Refer to the following image for the correct export settings: