FBX works fine as well. Go into polygon selection mode and select by material channel. You need to make sure they're totally separate objects as opposed to separate elements of the same object. The object name will carry over to Marmoset so make sure to keep them as something you'll recognize (hair, gun, body, etc.) Select…
You need to export the object into separate chunks, with each chunk having a separate material. In Max, I believe that you select all your objects and then> export selected> as .obj