Process for importing models built in 3dStudio Max

Is it possible to use 3DStudio Max to build models for JME? Is there a tutorial for getting them into the SDK?

Yes there is an ogreMax plugin, check this page : http://www.ogre3d.org/tikiwiki/OGRE+Exporters

as for the tutorials, I don’t know any source, but you can find the doc of the exporters on ogre web site.