Compiling: the technical part that is required to convert your XSI file into a .glm file using carcass.exe
The character in its final state exported from 3d max with the weighting and hierarchy done, you feed it to carcass and it will create a .glm...if you did it right
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Unlinking doesnt matter, there's a script that will redo the hierarchy for you. If you have "foreign" meshes that do not follow the naming convention you will have to link them manually, which is quite easy to do.
Here's a tip, focus on weighting the character first, leave the caps alone for now.