This Script imports multiple Illustrator files in one click, it attaches splines and weld vertices. you can add an extrude modifier by Shift Clicking the button.
Make sure to save your .ai files to illustrator 8 as 3dsmax can't import more recent version of illustrator files.
Install by drag and dropping in the viewport, then go to customize, customize user interface, tool bar, category "SimonScripts", create a new toolbar if you haven't got one already, then drag "Import AI" inside the toolbar.