You don't need to do anything in AutoCAD once the model is done.
When you're in 3dsmax, and you want to "Open DWG" (It might say Import DWG, my memory is foggy) then that dialog I showed will pop up.
Make sure 'auto smooth' is checked.
To the best of my understanding, the smoothing angle is the angle between FACETS around a cylinder. You can see your cylindrical piece is made up of many facets. If you looked at a cylinder in plane, it would look like a regular polygon instead of a circle. The angle between faces is defined by the 'smoothing angle' directly. If you project an imaginary line along one side of a polygon, the angle between that line and the next facet, forms the smoothing angle, as illustrated below.
The smaller the smoothing angle, the more facets it creates, and therefore the smoother the object, and closer to truly cylindrical it can be.
It's my understanding that 3dsmax has to import a DWG file as a surfaced object, meaning that it cannot import a truly curved surface, and must triangulate it as best it can to mimic it's curviness.
Play with the smoothing angle until it's "good enough" for your desired results, or reconstruct the object in 3dsmax uses it's own modeling tools. You'll find that "smoothing angle" will significantly increase the number of faces generated for a cylinder, and you will be in a balancing competition over "perfect image" and "few enough faces that my computer doesn't choke on the file size/complexity"
However, I'm betting that your part will be small enough that it won't be a problem for you to really crank that smoothing angle down tiny.
