The reliable method I use for going from O2 → Modo / 3DS Max / Maya is…

1) http://www.storiamilitare.org/o2/dw/p2ms.zip The output being milkshape files.
2) Import the .ms3d files into http://www.sharecg.com/v/5169/software-and-tools/LithUnwrap---Free-UV-Mapper-for-Windows and then export to .obj format.

Armored_Sheep (BIS developer): Reset XForm in MAX before you export to 3DS. Check size of your object, too tiny or too large meshes might be broken after import.

Or you can use the “Patched” or Release Candidate 2 version of O2 and use its Export feature.

See also Synide's tools for converting p3dm to LWO format: p3dm2lxo and lxo2p3dm.