One simple way to test if you are storing your texture or not is to import the model back into Blender. The problem with .x is that it isn’t a very good standard. It’s Microsoft, need we say more, so there are all kinds of problems with peoples imports from other programs. I think x has to have the texture seperate so you would have to find that out from dark basic. 3ds stores textures, and I haven’t had any problem with imports aside from objects being out of alignment. But when you get your model, I think you need to have the texture in the same directory. There is work being done in this area. I think Collada will be an open source standard instead of this proprietary crap, but right now Blender doesn’t export the animation end of it. Some engines only allow one texture, so check that out before you export.
Let us know how Dark Basic works out for you. I’ve considered buying Torque a couple times, but there are so many things I like about the Blender game engine that I end up sticking with it. I don’t think I have the patience to work with one of the others. I’m sure they’re good engines, but there’s something about building a model and pressing play that just hits the spot, and of course, python is a language that can be used for almost anything and Blender keeps me up on it.