You should be able to export the file as STL, SAT, STP/STEP, or some other standard 3D format which 3DSMax should be able to read I believe, but you'd still have to work with it to optimize it for pep in Max. I'd ask FS or Skullcandy for sure though. They should know which files you could export to that Maya or Max should be able to read. Also Vrogy would know for sure whether you might be able to export to obj format from SolidWorks.
I never really got into Pro-E. I've had limited experience with SolidWorks. I'm mainly an Inventor user. Work just got Inventor 2009 for me, hehe.
Bevbor, I believe this model will be useful in other ways besides becoming a pep file. I think you should still finish it, but if you're main goal was to make it a pep file, you might have to go an alternate route sooner or later. Like I said above, it's possible, but it'll be much more work than I think is necessary. Though, the model could serve as a great base for someone to detail in pep later.
I still think that pepping something like this is a waste of time though. Reason being that the shapes on the RL are very basic and realistic to replicate in real life with what should be relative ease. Details can be duplicated with some effort and patience.
For instance, I have a couple heavy cardboard tubes that were spools for large format paper. I'll take a picture later and upload it when I have time. They're about 24" long and could possible serve as the tubes for the RL. You could find similar objects for all the other part, or fabricate them.
What ever you decide to do Bevbor, just remember this is only my opinion. You do what you want to do.