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3DS Max has the "Export each node to separate file" so you can output a bunch at once. Pivots or object Axis are "relative to object" instead of world(cinema). These two things not being in Cinema currently makes generating proxy in cinema cumbersome. You might resort to making a set of proxy objects in max, saving out a vrscene then opening that in cinema. The Chaos Devs might even make fun of you for this workflow but it's currently the most efficient way. In cinema you have to copy/paste the name of the object, make sure its at 0,0,0, navigate to the proxy folder - for every single proxy object.
The attached is the Corona dialogue but is basically the same: