Milkshape can inport .obj files too.
Aye. and I think Maya can import 3Ds files too. I just figured having a list a mile long of all the possibilities was redundant.
I wouldn't recommend doing your modelling in SU because after exporting you still need to flatshade, add joints, add textures (sometimes) and reexport again. Many of the skills (like placing joints) are similar to how you would approach typical modeling for games which is slightly different from the extrusion based nature of SU.
In other words, your not really avoiding the more difficult nature of modeling by using SU.