In TACS/GMax, click on the icon which looks like a hammer (Utilities), go down to Resource Collector, click, click Browse, this should open the relevant folder for your created asset, if not navigate to it and open it, click on OK, click on Begin, and this will collect all your textures and put them in the folder. Problem solved - the easiest way. Or of course you could copy each texture manually (outside TACS/GMax) and put them in the folder ... you could do this before starting to create an assest.
Ray