Brand new based on code, or brand new based on you made the max file in max 2.5?
If it's brand new a la just a newly coded weapon, then you can point the weapon skin to your custom named and looking skin for the old weapon model.
If it is a whole new weapon made in max, then I think when you assign it a texture set of colors, it will output the skins into a file and save it with your max files for that object. I don't actually know as I have not used max in more than 4 years, and when I did, it was only for a few minutes, so I was not concearned with opening the files I made back up.
Anyway... good luck in your endevours, and post some more if you still have some questions.