I've been through this recently. If you're already using Blender, than forget the need for the .X format.
Complete your model in blender.
Assuming that you are using blender to texture, export the finished file in the FBX format.
Make sure that you have your texture files in the format used by Game Guru (use Photoshop or Gimp for the conversions)
Once you have these in a file folder (I suggest inside an Entity Bank folder) Use the GG importer with the FBX file and the Textures.
The importer will covert the FBX file to a DBO file, which is the native format GG uses to load models into the game engine. No real need to mess around with .X as far a GG is concerned.
OK, if you have .X files and need to convert them, there is a very inexpensive program out there called MilkShape. This will import and export .X files, allow you to edit them, and then output in any one of dozens of formats including .X
Good Luck
"THERE IS NO SPOON"
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