import a 3d object into 2nd Life

Hi how do I import a 3d object like say a helmet I modeled in 3d max

If it's an arbitrary mesh, you don't.

If it's made in a very specific way, you can import it as a sculpted prim. See http://wiki.secondlife.com/wiki/Sculpted_Prims for details.

That said, keep in mind, 99.9% of everything you see in SL was made directly in-world. Put your Max experience on hold for a little while. The in-world building tools, different though they may be from what you're used to, are far more powerful than they seem at first glance. Experienced 3D artists usually don't want to accept that as truth at first, but it is absolutely true.

Get good with the in-world tools, with regular prims, before you mess with sculpties. Don't put the cart before the horse, no matter how much outside experience you've got. It makes no difference whether you're just starting out, or if you were the chief 3D artist on the last Pixar movie. SL has it's own quirks, it's own rules. Your prior experience can help you, but it can also get in your way, if you let it.

The best thing you can do right now is pretend you know nothing at all, and start completely from scratch in SL. After you've racked up enough experience to master SL's toolset, only then should you start thinking about how to incorporate third party modeling tools to enhance (not replace, enhance) the in-world tools. Trust me, this will all make a lot more sense in a couple of weeks or so.