Well, I use Maya 7 for my Gamestudio projects, but the workflow should be the same.
1. In Maya, make sure that you have the fbx exporter loaded. You can check this in Window - Settings/Preferences - Plug-in Manager. The exporter should be called fbxmaya.mll. If it's not loaded check "Loaded" and "Auto load" in the plug-in manager window.
2. Now select your object, and go to File - Export Selection. Select the little box next to Export Selection to get the options window.
3. At the top of the Export Options window, select "fbx" as the file type.
4. Now select "Export Selection" at the bottom of the window.
5. It will ask for a name for the exported file and a location. Enter a name and hit ok.
6. This will open the fbx export options. You can leave most of the settings at default; but make sure that you select one of the two supported versions of fbx under "Export to version".
7. Hit export. You now have an fbx version of your model. Next you need to import it into MED.
8. Open MED, and select File - Import - (fbx version you exported to). There will be a window that lists all the objects in the fbx file. Make sure the things you want to import are checked, and hit ok.
If you are lucky
, your model will now appear in MED. If not, you may have to experiment with the settings in the exporter.
9. The last step is to save your model from MED as a .mdl file. This can then be used in WED and the game engine.
I would recommend trying this with a simple model with no fancy stuff first - a polygon cube is a good place to start. Work out the bugs, then try it with a real model.