Here is a little script that I wrote a while back that I use all the time. I tend to use the compact material editor when I'm initially creating materials, so this just looks at the active material in the material editor and converts any bitmap in a texture slot and converts it to an FStormBitmap. The bitmap must be plugged into the material directly not a node.
To install, drag and drop the .mcr file into max, then in Customize -> Customize User Interface, either assign a keyboard shortcut or create a toolbar button. It can be found under the category "droquis". To use, simply drag the textures you want to the appropriate slot of a new or existing material in the editor, and execute the script via button or hotkey.
Obviously, use at your own risk. I hope this saves you all some time and frustration.