Unfortunately there is not a standard way to generate the XML files. In our case, each vendor send us their libraries in their own format. For example, XFrog catalog was generated from an Excel file, but we had to write a custom software to translate it.
By the way, i'm discussing this issue with our developer, and it's possible to select multiple Max files in the import object dialog (i didn't know that). The drawback is that you get a list with all objects included in all scenes. From here, just select the objects that you want to import. Ideally we should list the geometric objects only, but unfortunately the Max SDK doesn't allow this functionality.