well... i have been hearing lately that Coolfile's w3d importer does have a bug with Infantry... i just downloaded his recently as well... i believe you should try another W3D Importer and if that doesnt work we can maybe talk to Coolfile himself but other than that i have never seen such a thing [i havent imported infantry using coolfiles w3d importer]
Coolfile's ok, why don't you try 'Bind to Spacewarp' with the _SKN file alone? Just hide all the bones and bind it to the WWskin only with the infantry model with any accessories (rifles, helmet, etc) or additions you might have.