I don't know gmax, but this should do it:
* Get oinkerwinkles tool MDL Vertex Modifier, and the war3fileConverter.
* Open the model file with w3fc, and convert to .mdl, if it isn't a .mdl already.
* Open the model with MDL Vertex Modifier. (load geoset 1 if asked)
* Select Tools -> UV mapping
* Here you can see how the skin are put on the model. If you want, you can remap the skin by changing the pulldown to "Top", "Front" or "Left" and press remap.
Then press "Save changes".
* Take a screenshot, close the window.
* If the model contains several geosets, select File -> swich geoset, and do the previous steps for each geoset.
You now have one or more pictures showing what part of the skin that belongs to a certain part of the model.