1)What dimensions are to be used for new objects? I believe you will be able to scale meshes in Milkshape after you import them, but I wondered if the texture coordinates would scale accordingly.

I set the MAX unit scale to feet/inches [Setting this in the Customize menu item/Units Setup]. It doesn't really matter, though, since once a model is imported into Milkshape, you can load up a character and use that as a reference for scale. Either that or export a figure as a DXF file, and check the scale from within MAX. Once a model is textured, it doesn't matter what the model's size is [textures size accordingly]. However if the texture resolution is low [like say 64x64] on a big model, then it may get distorted/blocky looking.

2) Do you model using the geometric standard shapes (cube etc), or do you start out adding vertices and faces?

It depends on the model. Normally I load up a 'reference pic' on a flat plane and place it to the back, then trace around it with the MAX's Line tool [Create tab on the Command panel/Shapes/Splines], then extrude it to make a 3D object. Then it gets cut up using the Edit Mesh tools [in the Modify tab on the Command Panel] or with Booleans [in the Compound Objects tab up top]. With characters I'm using a technique called 'box modeling where you split up a cube, shape it into a rough idea of what you want, then apply the MeshSmooth modifier to make it rounder, and shape it more with the other tools

More to come...