I'm not sure this'll work but I figured I might as well give it a go since I've been wondering about it for a while.
The theory is as follows..
a: make hair in max using the hair thing b: convert to splines and make a mesh c: bake normals off the spline/mesh/thing d: combine with delightful alpha planes to make awesome looking hair
And we're back in zbrush, seperated into appropriate subtools (after a bit of an argument with dynamesh) and prepped for the inevitable 3million hour sculpt.....