Glad I could help.
You are right, XSI does not import as many file types as other software does. As far as I can tell it only imports: IGES, EPS, HRC, dotXSI, Emdl, and SCN. There is an XSI Obj import plugin on my site. http://www.edharriss.com/SoftXSI_tools.htmhttp://www.edharriss.com/SoftXSI\_tools.htm But it's pretty picky about what types of objs you give it.
As for exports, it seems that you can only get IGES, OBJ, dotXSI, Emdl, and SCN out of XSI. I think that everyone would like to see, at least, a 3ds, an OBJ and maybe a DXF exporter implemented as a core function of XSI. However, there is a dotXSI plugin for 3dsmax http://sourceforge.net/projects/dotxsi4max/http://sourceforge.net/projects/dotxsi4max/ and one in development for Maya. http://sourceforge.net/projects/dotxsi4maya/http://sourceforge.net/projects/dotxsi4maya/