It should also be said that the process we use, and the only one that has worked consistently well for us, is to "combine by Revit Material" on the Max end when linking. The downside to this is that you'll have to be even more careful as to what objects in Revit have what material applied to them, because objects with the same material will all be one object (i.e. all window mullions, canopies, light fixture etc. that have "proMaterial Aluminum" applied to them will all be selected at the same time). It seems like this is something you may not want at first, because things are all bunched together, but it ends up making things move incredibly fast. You cut way down on selecting and mapping times. As long as I'm working with a Revit guy in our office that models properly and assigns the right material to things, we can import a model and have it "render ready" with limited effort. It allows much more time to create lighting scenarios and model in the details that really make a rendering stand out. This often results in higher quality with much less time. Going the .dwg route and editing what objects are on what layer is a valid route, but if the model changes, you have to spend those hours of conversion all over again. When done right, by linking, all you have to do is click Reload and it updates in Max. You just have to edit your preset, as Jose mentioned. In the Manage Links dialogue, click Presets, highlight "Combine By Revit Material", Modify, and check both boxes under the Materials section. In this window you can also set whether or not you want Max to import Cameras, Lights and Daylight systems, all of which I don't personally have checked. If you have them checked, it will sometimes duplicate lights and systems when reloading and you'll suddenly have a blown out scene.
The last thing to consider in this window is how many times you want Max to segment a curved surface on import. Models get MUCH more heavy with higher settings, obviously. It will segment I-beams, countertops, all sorts of things that you don't even care about and your navigation will be sluggish. When exporting an .FBX you can mitigate this a little by also setting the view detail to low.
I could go on all day.