Game Maker's old model format is fine, but if you work with 3D artists you probably will want to use a standard file format such as the ubiquitous Wavefront Object.
A minorly important update: someone pointed out that if you swap the Y and Z components of points to compensate for Blender's "up" direction of the Y axis rather than the Z axis, you'll also need to do the same with the Y and Z components of the normals. The script in this repository has been updated, although it was not mentioned in the video.
Video tutorial:
