In a previous animation thread I posted a link to a tutorial on how to Sequence animations in milkshape to get them to work in Torque. After you finished all the specific animations, you had to create new Materials and rename them to err, something. I can't remember exactly. These materials did not need to be assigned to any part of the model, they were pretty much just information holders and would extract along with the rest of the model.
I don't have the link anymore and I'm too lazy to search the forums.