Yeah, I think I've pretty much figured it out. You're right about the tutorials. I've found a couple of others and they all seem to contradict one another, so I've been doing my own testing. I still find that both Gmax and Blender have a tendency to create collision meshes with way too many vertices. I'm basically creating clutter objects right now, so I don't need a collision mesh with so many vertices that it completely hides the model. I've been playing around with removing a bunch of detail from the original mesh, importing that into Gmax or Blender, duplicating it and converting the duplicate to a collision mesh. Sometimes that works fairly well, but is usually still too dense. I've also tried to just import the mesh, create some very simple basic objects to represent the outline and convert those to a collision mesh. However I still find that I get too dense a mesh - that surprises me actually. Unfortunately Gmax crashes if I try to select anything other than convex shape or strips shape, so that severely limits my options. I found two different tutorials that contradict each other on how to do this in Blender, so I'm still not sure how to do it.
I discovered that one of the fort ruins statues has a perfect collision mesh for my purposes. It's name and path is: \meshes\dungeons\fortruins\dungeon\decostatuesetc\rfstatuefig02.nif. Could you tell me how to create a collision mesh like that? It almost looks like Bethesda created that manually because there just doesn't seem to be a way to generate something like that. Maybe 3DS Max could do it, but Gmax doesn't seem to be able to.
So with Max 2011 having nif support, then there's no problem using it with Oblivion? I remember that there was one version of Max that didn't work with Oblivion anymore because it required a third party plugin to do the imports and exports and development had stopped. It looks like development has picked up again though because I saw some recent releases when I grabbed the plugin for Gmax.
My original problem was that I was converting the original mesh to a collision mesh without duplicating it first

That actually turned out to be kind of handy because all I really wanted was the collision anyway - I just copied it to the original mesh with Nifskope

This had the benefit of me not having to deal with the fact that Gmax didn't handle some of the textures properly, so the export didn't come out very good.