hi chacha...
I don't know exactly what are you doing, but let me tell you what i do:
1st - Build the model in maya (or 3dsmax or whatever).
2nd - export it. (So far everyone has to do this)
3rd - import it into the engine. and set the package, group (optional), and name.
(if you already have a package, open it, and then import the new mesh)
4th - save the static meshes.
5th - save the current project (the urt if you are using "unrealengine2 runtime", i dunno the extention of the level in the ut2k3)
Now, lets do the testing part.
1- Reopen the editor
2- Load the static meshes file (you must find it there)
---- Edited
3- Load the textures before the static meshes, some time the textures are setted up in null cuz the texture file is missing... After that you could load the urt file and continue with your work
----
Why am i telling you this, cuz, i don't really know if the engine loads the file when you load the entire project... I was having that problem, but since i start to working like this, every problem i got was gone...