Hey Wolf,
I use blender, so your results may differ if you are using a different modeler (I think I recall reading that you use milkshape?) But anyway, here is all the important information I was eventually able to figure out:
* As mentioned in the other thread on this topic, its important to have each part of the model that has a different texture as a separate mesh inside blender. Then you select all the different meshes and export them together with "selected objects only" checked on the export option.
* From the other thread it wasn't clear to me where you need to have the model reference the textures, as in blender there are actually several different places this can be done. I ended up linking the texture used in the UV editor and also by naming each material the exact filename (for example wall01_color.png/dds) in the material editor. But as far as I can tell the UV editor data is what actually gets exported from blender.
* If I'm reading the other thread right it is possible somehow to get this working with .x but I had no luck with this and this part was the biggest roadblock for me. I tried exporting with the "include materials" option selected and not selected, and many other variations. I was literally halfway through typing a message in the other thread to "Agent Arts" asking him how he did this when I got it working in FBX and decided to just stay with that.
* GGs scaling of Blender .x and .fbx models is different. For reference: Importing into GameGuru, the test model needed to be scaled to 24 in .x to be the right height. The same exact test model exported .fbx needed to be set at 60.6 scale in GameGuru to be the exact same size.
* The shader was just the apbr_basic.fx
* For both .x and .fbx I needed to use the actual gameguru importer for this to even see the model. I know for .x a lot of times you can just create the fpe file yourself and skip the importer entirely, but I get the impression that is a non-starter with multitexture models.