There are a number of methods and it depends on what you're doing for the most part and what sorts of changes you're making. No option is great however, so you'll want to avoid, as much as possible, going back and forth.
You can import a .skp directly, of course and maintain all of your components and such which can make geometry edits easier but it tends to make later revisions in SU more complicated to integrate. My preferred method currently is to save a temporary version of my file where I explode everything and put everything into a single group. Then import that into Max which creates a single object with a multi/sub material. I'll then replace those with vray or maxwell materials. Having 1 huge material isn't ideal for editing geometry but I don't do any of that in Max so I don't worry about it.
When a change comes later on I repeat the process but now I've already got my multi/sub material in Max which has all the correct vray/maxwell materials in it. So all I need to do is apply that to my new object once it's brought in. Note that if you've added/deleted materials from the SU object during the changes it may require a bit of editing to your multi/sub material to make sure it matches up.
-Brodie
