Although Adrian Woods has an interesting post about how to add attachpoints to your X file, it still took me most of the evening to get things working. First I probably picked a wrong effect that does not work for scenery, but I also forgot to add the mesh to the X file frame of the attachpoint. Although that mesh is not put into the MDL when compiling with XtoMDL, it still has to be present in the X file.
But after having learned that, I could attach a nice firework show to my object converted with ModelConverterX. Now that this test is working, I can continue adding the attachpoint functionality and attach useful effects (for lights for example). But that is something I will continue working on later this week.