There is way to do this in Max and it is too clumsy and time consuming to me, so I use Wings 3D to merge many things, including scenes, but sometimes the basic info is merged and things like shaders added later. Blender can merge scenes but I have never used it for that. It is so important to get as much of the geometry done as possible - preferably all - before even working with a UV map and/or textures, materials, and shaders among other things.
Blender, 3DS Max, and Wings 3D are all used by me based on workflow pipeline needs. I even on occasion use Deep Exploration, Milkshake 3D, or plug-ins for 3D programs such as Panda and Collada. You will eventually be forced to expand to other programs, too, so the sooner you get accustomed to several programs the better for you. This strategy will open your creativity and innovation to amounts achievable only this way.