Yes there are a couple of ways :Originally posted in cdnusers.org by rbennett
Open the *.max file in Layout and then goto
File -> Save AS
> change the type to *.llb library
This will create all the footprints in your design as a library file.
Open your Library Manager Window
Goto Add and change the "files of type" to *.max
browse to your MAX file and open it into the library Manager Window
Find your footprint and choose "Save As"
Save it to an existing library or choose to create a new library.