Well that is pretty much how its done...but here is how i go about it to be exact..in Autocad just trace out the stuff u need to generate the 3d model like walls, floors, lintels, ceiling, windows doors etc as simple closed splines each on a respective layer. then import only these ones into ur max interface. this ensures u dont clutter up ur scene file with unwanted stuff..then pick each layer and extrude and adjust it piece by piece refering to the elevations & sections at the same time for heights and misc. details..in some cases eg--when you need to make windows or some special elevations feature..tracing on top of the elevation in Acad works much faster..its pretty much like working in tandom with plans and elevations to get the 3d model up..hope this helps..
cheers