Most of what you need to know speficially for Civ4, you should be able to find 'somewhere' within the tutorial subforum, but it is certainly scattered. This
In general, it depends what kind of software you want to use. For 3ds Max, this tutorial should be helpful:
https://forums.civfanatics.com/threads/tutorial-converting-units-from-kohan-ii.356101/
I think it also explains how to do stuff with Blender, but I never looked deeper into that part. You can certainly do the whole process with Blender as well, but I am not sure if there is a good thread for the whole process covering custom animations as well.
If you 'only' want to import the mesh, but rig it to a Civ4 mesh to use those animations, this tutorial should be helpful:
https://forums.civfanatics.com/threads/bone-weight-copy-blender.320560/
While we are on the topic of Blender, you probably will need to use an older version to get the whole process working. I am still using 2.49b, which works fine for me.
And in any case, you probably will want to use NifSkope as well, for which this is a good thread:
https://forums.civfanatics.com/threads/tut-nifscope.305606/
Finally, as a bonus, here are two threads about animating with Blender:
The main target of this tutorial is to give a short introduction how custom animation can be created using Blender. For this you must use the newest (atm beta) script, 2.3.12. In this version the export option was activated. What else is needed, basic knowledge about modelling, a model to...
forums.civfanatics.com
Introduction Since I've gathered some knowledge about unit/leaderhead creation and custom animation creating now I think it's time to share some of this knowledge by writing some tutorials. Please note that I don't claim to present the best solution for the tasks at hand here, most of the stuff...
forums.civfanatics.com
Hope these help you forward. They mostly only cover the Civ4 specific stuff, you probably will need to learn how to use 3ds Max / Blender seperately as well.