Yup! A ROFF is the way to go. A func_train or other entity moved through ref_tags will have jerky movements. Here's a tut for ROFFS:
http://www.kripzclan.co.uk/torchy/SoF2_Animating_Objects.doc)
You can get the Vmdexp.dle plugin in the JO SDK in the Max4Tools folder. I never tried making a ROFF before so I can't help you out.
BTW, I don't think ROFFs work in MP. Give your moving entity key:linear value:1 this will make it so it doesn't slow down in between ref_tags/path_corners.