If you look Where I click you will figured out how It works.
The only MAIN drawback is explain at the end of the video, The Stupid DWG export Can't export Faces but the Full Object, So Walls Can't Be multi textured, Outside and inside have to be the same Color.
If some one figured out how to pass through this limitation I be more than glad to share with you.
On the other hand, I can model every thing In archicad, 1 click and it is update in 3dsmax. priceless !
I ve been using this technique since 7 years now, Works like a charm.
I know there is a script on import OBJ file by Mirza, But It doesn't for now, suit my needs (Keep it simple, and layer management).
I used to use the same workflow a long time ago, but found the autoCAD 3D export no to be so reliable when used for big projects and stopped using it when I needed material separation. So I use AutoCAD as a sort of translator between the good .3ds export and .dwg file link.
The import option in autoCAD will let you separate each layer and separate each object according to the materials it has; just make sure to use the split by material option.
I usually first "add all", then select the global settings, camera and sun and remove them. set options and let it import. then save and update link. works as nice as your workflow, but has the extra step of importing/saving in the middle before file link update. I've been using this for very large projects flawlessly.
BTW... autoCAD will seem to hang when importing very large scenes, but it takes a while to separate each object and construct the mesh per material.