never having used blender, i would say you best bet is MshEx. if you use Bconstructor, you don't get thos Zeroedit selection boxes, and sometimes collision is bad.
MshEx is fairly simple to use, if you can understand what he's saying.
(don't worry, if you're looking at the MshEx thread, and you don't know the the heck to do because nothing Rep says makes sense, don't worry, I've been there too.)
here is a quick how-to (in No0b)
1. you
MUST have Crosswalk, it's in the mshex thread, and is self-installing
2. open XSI, import/build your model.
3. (if your model is a building ) go to Primitive>Null.
4. Select your null,
5. go to the lower right corner, and click "Parent"
6. select all your models until they are all gray.
7 Right Click to end pick session.
8. Middle Click on your null and go to File>Crosswalk>Export
9. go to settings and make you box look like this:

i blacked out my name

10. click the ... button (circled in yellow) and browse to you chosen directory. ( i use the desktop)
11. click export.
12. find your MshEx folder, put your ***.xsi file in it.
13. open mshex, and type in your
EXACT file name, whether it's "gun.xsi" or "big_pile_of_monkey_poo.xsi" if you don't it won't work.
14. wait
15. (depending on how big you're model is) wait some more.
16 now it's done and you can put ingame!
>>>>>>>>>>>.
IF you are making a gun!!
you will need tow nulls, one at the top of the grip, called hp_active, and one at the end of the barrel called hp_fire.
I usually just parent everything under hp_active (cuz I'm lazy

) and export.
( I hope this is helpful!)