Some recommended free alternatives include Blender and Google Sketchup. Any software settings or commands I discuss should have relatively similar processes in both of those programs or any other 3d modeling program, but if not a quick search with your favorite search engine should yield some helpful results. Nothing I discuss will be very complicated.
The 3d printing service I use is called Shapeways. They have a large selection of materials and a great user support base, as well as frequent updates to their website and material library, and low prices. (Very important!) However, there are many options out there and it is up to you to decide which one you like best.
Step 1: Set Up the Modeling Program
I always like to work in metrics. Even though I am American, I find that metrics make the design process simpler and it makes scaling models easier. It is also easier to work at small scales using millimeters as opposed to inches. This is useful not only because many 3d printed models are small and/or detailed, but it helps you stay conscious of your maximum wall thickness and other measurements, which I will discuss later.
In 3ds Max, it is very easy to change the units settings. Simply go to Customize>Units setup. There you can change which unit category you want to work in, as well as which unit will be the base unit. (The base unit is which specific unit measurements are based around. For instance, if I have my base unit set to cm and I create a 1 cm x 1 cm x 1 cm box, the box's size will be shown as 1 x 1 x 1. But if I change my base units to mm, the box's size would now be shown as 10 x 10 x 10, even though the physical size of the box never changed.)
To change the system units, which are the units that rulers and grid lines are displayed in, press the "System unit setup" button, located at the top of the units setup screen. By default, it is set to 1 unit = 1 inch. I like to change this so that 1 unit = 0.1 [unit I'm working in]. This is because each grid line represents 10 units, so that way each grid line becomes 1 unit. But feel free to change it to whatever works best for you. I recommend keeping the unit in the same measuring system (metric, generic, etc) as you are working in.
Step 2: Plan Your Design
Minimum wall thickness is how thick the thinnest part of your object is. Your object has to be thick enough to print in the desired material. You also need to take into consideration how thick supporting parts of the model are. For instance, if I was to make a wine glass out of stainless steel (why not?) and I made the stem 1 mm thick, it wouldn't be strong enough to support a large structure above it. But if I changed the stem thickness to 5 mm, it would be much stronger.
Detail level is also important to take into consideration because 3d printers can only create detail down to a certain level. Just like regular printers, they do not have unlimited resolution. So you need to do some research about your 3d printer to determine how much detail your object can have. For moving parts you also need to take into comparison the clearance in between parts, to ensure they are not accidentally fused during the printing process.
All of this is based on what material you decide to use. Different materials have different minimum wall thicknesses and detail levels, as well as clearance thresholds.
Information regarding the different materials available via Shapeways, as well as specifications about detail, clearance, and wall thickness, can be found here and here. Also be sure to check out their community forums for help and advice.
Step 3: Create Your Model
Step 4: Prepare for Printing
Exporting is a fairly simple process in most programs. Generally it simply involves going to File>Export in your 3d modeling program. In the new versions of 3DS Max, the file menu has been replaced with a large green 3DS Max logo in the top left of your screen. Click there and click Export.
Step 5: Upload
First you must create an account. Simply click the "Sign Up" button in the top right of the home page, and complete the signup as you would on any other website.
When you have completed signup, return to the home page. If you are not logged in, do so at this time. To upload your model, press the pink "Upload" button underneath your username (your username is displayed where the "Sign Up" button previously was.)
The upload process is fairly simple. Press "Browse" and select your file. Enter a title and a description. Then select which galleries and categories you want your model to be in, and add some tags. Check the two boxes at the bottom and press "Upload." within about 5 minutes you will receive an email telling you if your model was uploaded successfully or not. If it was unsuccessful, Shapeways provides some online tools to help you fix your problems.
Step 6: Print and Enjoy!
Once your model is in your cart you can continue shopping (You can buy other users' models as well) or checkout. Once you checkout it will take around 10 days (their shipping estimates may have changed since my last order) for your model to arrive.
Enjoy your brand new creation, and remember to keep designing and keep innovating!