With this script you can use all max hair style options and then export hair as lines then use this script to extract lines from max hair then use these lines in hairfx, cause hairfx has more quality than max hair.
1- Apply Max "Hair And fur modifier" to your object.
2- Style your hair as you want.
3- From "Hair And fur" modifer > "Tools" rollout click "Convert hair to splines" button.
4 - Select the created hair shape then run the script from maxscript menu.
5- Select all "HairFX_Shape_XX" objects and apply "Model Hair" modifier.
6 - add "hairfx" to the scene from environment dialog.
7 -Under "Model Hair, select all "HairFX_Shape_XX" shapes.