1: Open photoshop and draw some damn shapes.
--------------------------------------------------
2: Make things a little interesting...
--------------------------------------------------
3: Copy and paste everything and paste it into a new alpha layer.
--------------------------------------------------
4: Press and hold ctrl and click on the alpha layer so it is selected like so.
--------------------------------------------------
5: Click the paths tab and click "Make work path" from the drop list.
--------------------------------------------------
6: Go to file>export>paths to illustrator and save the .ai file anywhere you can remember.
--------------------------------------------------
7: Open 3ds max and go to file>import. And select the .ai file we recently selected
--------------------------------------------------
8: The import options are pretty strait forward here.
--------------------------------------------------
9: And now we have the paths in 3ds max as splines that can be extruded, and used when modeling.
--------------------------------------------------
10: Be creative!
--------------------------------------------------