Hmm... Well.. I never work on anything highpoly before
don't ya think maya->mdx is a lil too heavy weight?
I will definitely use maya in future in my college I haven't even touched it yet
If there is any software that has more support to warcraft (Which Most probably you already know) - 3DS Max with blinkboy's plugin (I never used it before too however)
most probably be the best way to convert the thing.
But anyway, Not sure if Maya is able to go to 3DS Max nicely but maybe use 3DS max as a middle guy?
I myself animate in Mdlvis which.... I plan to do it in 3DS Max in future (But due to my laptop that lag like hell) no choice but Gotta stick to a Non-Professional program
So I'm not sure if you tried this before, but If you haven't maybe try 3DS Max and Blinkboy's Neodex, And I bet Animating in 3DS Max is much more easier and better than milkshape 3d
hope that helps...