Having used both myself, I agree with JoeBlo. It is much easier to edit pre-made GMF files from in notepad than it is to make brand new ones in 3DSMax (which usually requires a bit of editing in notepad anyways). I ended up just exporting a bunch of unusual shapes in 3DSMax with the intention of reshaping them in Notepad++ to fit my needs.
3DS Max has a steep learning curve that takes quite some time to get good at while editing in notepad can be as simple as changing a few lines and/or copy/pasting chunks from other files. It may look daunting at first but most of the data can be ignored (especially when making components). If you're interested in learning how to do this, feel free to PM me.