Instead of screencapping a viewport to get the mesh into GIMP, try this:
(I suppose you've already created a material referring to a basic texture file (empty 2048² px or 1024² px file with just a background color) in the "diffuse map" slot.)
- Upon being finished mapping your first part in the UVW Editor, disable the texture view (blue checkered box) in the editor. You should now see the thick outline of the texture sheet.
- Zoom in and move the view until the outline
barely touches the toolbars (leave a few pixels of space to make sure) at the top and bottom of the Editor's window.
- Select the vertices of the mapped part and press the "freeze" icon (thermometer; bottom toolbar). This makes the vertices black instead of red and, more importantly, smaller.
- Press "PrntScr".
- In GIMP, select "Create from clipboard". You should see a screenshot of the whole desktop.
- Select the grey area
within the thick bitmap outline in the UVW Editor part of the screenshot with the magic wand tool.
- Then do a "Crop to selection" (in the "Image" menu in the top menu bar).
- You should end up with a square, or nearly square, image of your part's projected mesh on a grey background.
- Deselect everything with CTRL+D.
- "Image" -> "Resize" and resize the whole image to your main texture's resolution (1024*1024px, 2048*2048px or else). If you didn't end up with a square image after the "crop to selection" part, deselect the "keep aspect ratio" setting and adjust accordingly.
- After having resized the image, copy it with CTRL+C.
- Paste it into your main texture file and make it a new layer. If this is the first part you're mapping on a texture sheet, name the layer "Mesh" or something similar.
- Select any grey area surrounding your part with the magic wand and delete it, so that the background color of the main bitmap can be seen.
- Save your main texture file and export it for use in GMax. You can discard the temporary image made from the screenshot as you won't need it anymore.
- In Gmax, go to the material editor, select your texture in the "diffuse slot and press the "reload" button. You should now see your mapped part with its temporary wireframe texture in the viewport.
- Map the next part. In the UVW Editor, you can now see where your other parts are located on the texture sheet (and avoid "overmapping" them accordingly) before you disable the texture view and repeat the above procedure.
- On your main texture, you can unify the mesh layers into a single layer. Make sure you remove the excess grey color around the parts though.
So much for my workflow. It is not as accurate as the "render to texture" functionality of 3ds Max, but it does the trick.