I recently gave up on using the Milkshape 3D modeller, and switched to Blender instead. The extreme simplicity of Milkshape that attracted me at first, turned out to be a curse and I realized I couldn’t do anything even remotely complex with it without having a headache.
Luckily, I’m completely satisfied with Blender, specially that it had a major UI revamp recently, which made it way more similar to 3dsmax and thus very friendly to use. In addition, Blender can export in .X format, which I already support and which is perfect if I want to port my game to XNA later, which supports it natively.
The only thing Blender’s .X exporter was missing is it doesn’t handle vertex color information. I took a quick peek at the export plugin, which is made in Python, and fixed it. Here is my version of Blender’s exporter with Vertex Color support, to copy in your Blender2.63scriptsaddons folder: io_export_directx_x.py