Before I export, I save my model and go to File>New. I then import a mesh from the Construction Set CD. (File>Import>nif importer version 0.02) I pick a weapon mesh that is the same type as mine, in this example, I'm making a one-handed axe, so I choose a one-handed axe:

The importer tends to rotate meshes 90 degrees on the x-axis, but it's nothing to worry about for now, we're only going to look at the model. In the top view, I move the cursor to the top and bottom of the mesh and note how long it is on the z axis (in lower left corner of your screen you can see the coordinates). It goes from -16 to 26, so the chitin axe is about 42 units long.

That's all I need to know so I go to File>New and open my model back up. Now I select all and scale the axe uniformly until it is about the same length as the chitin axe. I actually don't need to scale it by much, so I just enter 0.9 in each field above the x y and z buttons, and click the "scale" button to the right a few times.

Then I move the axe so that the handle is centered where the three axes meet. This is where the player character will grip.

Before I export to .nif., I save the model in .ms3d format. If I want to edit the model later, it's better to work with the native MilkShape format than with .nif. The .nif exporter is under the File>Export menu. It exports to the same directory as my model, so I then copy and paste the mesh into my Morrowind\Data Files\Meshes directory. And I also copy and paste the uv map into my Morrowind\Data File\Textures directory (I recomment converting it to .dds format.)

Then in the Construction Set I make a new weapon with this mesh and save it in a mod, and I test it out in game. Usually something's wrong: like it's still not the right size, or the texture is too bright. Don't be surprise if you have to rework and re-export many times until it looks right.