There used to be a utility included in the DirectX SDK called Convert3ds.  It could convert files made by 3DS Max to .X files that could be directly consumed in DirectX.

I just installed the DirectX SDK (Dated March 2008) and could not find the utility.  The only mention to it is that it was last published in the April 2007 DirectX update but is now deprecated.  What I can't find is whether or not there is a new sanctioned way for converting 3Ds files to .X files.

You can still download the April 2007 DirectX SDK from MSDN. Otherwise, google might find a replacement tool to do the job.

It took forever and a day to find a search result that wasn't pointing to a tool that was no longer available, but I finally found the convert3ds tool available from MSFT as a seperate download in the DirectX 8.1 extras.

Since MSFT no longer includes this with the DirectX kit I am guessing that there exists some other preferred method of getting models out of 3Ds and into DirectX.  Do you know of them?

Generally, that's handled by 3DS plug-ins like the Pandasoft exportor (free) or kW X-port (also free). I haven't used any command-line tools to convert outside of 3DS, so I can't offer any advice there.