All the little bits of creating an aircraft are an ongoing project. You won't have a complete aircraft very quickly, so don't worry about making things perfect for your first export. Just start fiddling with Gmax, learning its quirks and issues. There's plenty of time until FSX comes out, so I would recommend you just mess around with the program and figure out the basics of modelling before trying to get anything on the net.
You could also take a look at
http://www.freeflightdesign.com since there are many downloadable creations there that can give you a sort of idea on how to create something of your own, along with a very nice forum that can give you some really nifty advice. Many of the members here are also members there, as well as many others that are much more versed in the manipulations of Gmax than us.
Good luck, and don't get too frustrated!