Before Wall Worm, the process of exporting models from 3ds Max into Source was pretty laborious. You had to manually export multiple SMD files, manually write out a QC text file and then run that QC through a compiler.

You can still do that. But the whole point of using Wall Worm is to optimize your workflow to a point that you must do as little manual work as possible.

There are two ways to use Wall Worm to get content into Source.

Wall Worm Model Tools and Quick WWMT

The most common (and preferred) way to send your models into Source is to use a WWMT helper to store information about your model. When using this method, exporting SMDs, VTAs and QCs is automated.

Assigning WWMT helpers to your models can be accomplished in a few different ways. You can build a new WWMT helper via the Wall Worm Model Tools UI. You can also make a bunch of WWMT helpers at once by using the Quick WWMT functions in the Models tab of Anvil.

Likewise, you can export and compile your models with the Export command in Wall Worm Model Tools or the Quick Compile button in Anvil's Models tab. Also, there is a menu item in Wall Worm Exporters called Export WWMT into Source Models. That menu will export all selected WWMT models directly into Source.

Manual Export

If you do not want to export you models via the automatic method (because you only need a single mesh or prefer to write your QC manually), you can still export the SMDs and VTAs with Wall Worm by using the SMD/VTA Exporter.

Using this method means that you must write out the QC manually. You will also have to compile the model manually. For doing that method, you should consult the relevant info on the Valve Developer Wiki.