Sorry i dunno about gmax plugins
If your method works, id be interested to know about it, but for now, i'm gonna give you reasons why this wont work.
1.This only works for weapons and static meshes. When you import your .glm in milkshape (or any other 3d package) the bone weights get destroyed...period!, you cant have a player model without that information.
2.What some people used to do, is model in milkshape and then export it to .md3 so people with 3D Max could do the rigging for them...you cant escape rigging! It's a fact for all game engines.
3.The compiling (note the word compiling here) is done with a .XSI file exported from 3D max or softimage XSI, that XSI file has got a player model mesh segmented in 9 main body parts.
Those body parts and tags are linked together in subgroups and attached to the main tag/root objects. Most importantly the meshes are WEIGHTED to the skeleton, meaning, whatever the bone movement, the mesh will follow.
Now when you have done all that crap, you export it to .XSI and use an external compiler called carcass.exe, this compiler will produce a valid .glm based on the hierarchy (and bone structure) of your character. The animation system is based on an external file and not baked in the character's mesh at export time so its mandatory to have same exact skeleton and hierarchy structure.
.XSI > Carcass > .GLM > .GLM+.GLA = Ja character.