There are many questions which you have to answer yourself before you can ask that question here.
What are your models and environment? Will the models interact with the environment, or can they be output as separate passes, then comped in After Effects (or other compositing software)? Will there be more than one camera in the scene, and will you be inter-cutting during the action? Will there be other, 2D elements needed in the animation? Have you storyboarded the short (which will help immeasureably in figuring out where your "pieces" can be separate elements)? What is your computer system, and can it handle a big project with many shots? How many texture maps do you have, and how large are the file sizes?
Without knowing any of this, my first answer would be to make as many pieces as possible which can then be seamlessy integrated. It will tax your computer less (and stress Max less), plus it will allow you flexibility in the post-production process, so that if you "hit the wall" with a segment, you can easily go back in and work on just that segment. I hope this helps.
By the way, there are many tutorials on workflow, but it depends on what software you're using (outside of Max 2011). You could work in Max, send effects shots to After Effects, then edit in Premiere...the possibilities are endless, but they depend on what you have access to. Here's a good place to start for tutorials: