Texture location doesn't really matter. Once it is written in .msh format, only the name is referenced, not its location.

Make your model
Uv it.
Freeze Everything
Follow steps of whatever exporter you are using.

General workflow for exporting to .msh. Sometimes exporting as .obj or .xsi (for modtool) and reimporting it fixes problems.

are there any specific rules about how I should skin my model? I mean do I have to use a specific texture projection and how meny textures can I have?

no

Make sure to only use Phong and Lambert shaders, though. If youre using the Modtool interface in XSI modtool, i believe you can ignore this.

Keep in mind that you can also use Blender to model, and Blender is free. Consult the link in the "everything you need to know' topic (under modeling) The tried and true method of using Blender is to export as vrml 2.0 (.wrl) and then convert the .wrl to .msh using SWBF Viewer (also under modeling in the "everything you need to know" topic) This seems to only work for non-animated objects, however, as vrml format apparently discards all of that extra info...or something. However, another option that I haven't investigated is exporting as XSI from Blender. I know it's an option in the export menu but am not sure if, how, or how well it would work, or what version of XSI it exports to. Haven't experimented with it yet.