I also found that the Autodesk fbx converter discarded the smoothing information. Very frustrating.

My testing of the Max 2010 trial indicated that it does a reasonable job with obj.

My eventual workaround has been to export obj from Moi (I needed styles exported as materials), import obj to Blender using an obsoleted Blender script which Michael kindly modified (necessary because the current Blender script discards the smoothing info!) and finally export to Max from Blender as fbx (Blender's fbx exporter is very good). Note that you shouldn't make any changes within Blender as it seems that doing so results in Blender re-calculating the vertex normals, ruining the smoothing.

Blender script is in this thread...
http://moi3d.com/forum/messages.php?webtag=MOI&msg=3164.1