After importing the tool, draw it into the canvas, and set draw mode. If you need more polygon resolution, subdivide the geometry more (Geometry pallet.) From your brush pallet, select the clay brush; from the stroke pallet select “drag-dot”; from the alpha pallet, select your imported alpha pattern.
You should then be able to drag a copy of your alpha around the surface of the object. Wherever you let go with the drag-dot stroke, the alpha should be imprinted on the surface of your model.
An alternate technique would be to apply your alpha as a mask. This can be done by selecting your alpha with any of the sculpting brushes and dragging our a rectangular mask. Once you have masked with your alpha, you can then use “inflate” tool from deformations tab in your tool pallet to get a regular amount of deformation around your alpha.
Either technique (as long as you stay in “draw” mode and do not “drop” the tool–your model) will leave you in control of your mesh. You can then re-export your deformed mesh into Max or generate maps from it.
HTH,
-K