The advantage of importing something from AI is that you get the option of automatically adding bevels in the AI wizard.
If you trace a rotoscope in A:M you can extrude it, but you'll have to add the bevels manually.
Lots of apps can export .AI files. just make sure your creating actual vector art and not just an image file embedded in a .ai file.
You'll really want to do the tuts in TAoA:M, those will answer most of your questions.