Haha, yes...Max's smoothing groups are a pain in the butt. It should be a piece of cake for a building though. Ticking 'By Angle' in the Selection tab helps for selecting polys that are facing a similar direction, just select each wall and give them all a different smoothing group number.
To make smoothing groups easier to work with, I use polyboost's functionality. It has three buttons relating to SG's, 'hard', 'smooth' and 'auto' (or something similar, working from memory here). Shiftclicking those buttons only applies the effect to the selected faces, which means selecting a few faces and shift-clickiing…
Auto Smooth is better though, just a couple mouse clicks... Select all the faces, set the threshold angle (any edges less than this angle will be soft), and click Auto Smooth.