In milkshape you can make map objects (md3). You can also make wepon and saber hilt models by exporting as an md3 first and then going into md3 view and exporting it as a .glm. Player models will not be possible in Milkshape till verssion 2.x.x comes out because as of now it does not support vertex weighting.
I have a model made from two existing models with bits of each turned off to make a single model using milkshape, which killed all the bones and tags and such. Are you saying i can save that as an XSI and assimilate it to get a finished model?