There is a mesh import plug-in for 3D Studio Max that will import a binary format mesh file. You can then export from 3D Studio Max to .obj format and import that into XSI. Depending on your skills, you may keep the UV mapping but I tend to lose that as I'm not that expert on the modelling front. Also, the imported mesh may or may not be ideal if it has been triangularized by the convertxsi utility.
Unfortunately, there is no way to directly import a mesh straight into XSI.