The template is Chapter 6: Gamemastering and the "Creating Worlds" section
Your Savage Worlds core rulebook already contains a great deal of advice on how to create a Savage Worlds world, including specific advice on converted worlds, which would be your Mad Max setting. As someone who has created fanmade conversions for The Elder Scrolls and Stargate, as well as worked on several published settings, I can affirm that the advice given is valid and very useful.
I was thinking, what does it take to build enough material to make a convincing world?
Presumably whomever you're playing with has seen the movies, so you don't have to reinvent the wheel and write all that out if you don't want to (I didn't with any of my conversions). There's also plenty of online resources, including The Mad Max wiki.
The section I pointed to shows that you just have to make enough new Edges and such to allow you to be able to create PCs that represent the sort of characters in the world, and add any setting rules to replicate the genre. Let's walk through the advice in order to help you create your Mad Max setting:
Like an original setting, identify the themes of the other game and
try to adapt with a very few key world rules.
I admit, I haven't seen the new movie yet (or any of the movies unfortunately), but from what I can tell from the trailers, the big themes are a dystopian "every man out for himself" survival and loads of vehicular combat. This means that when converting things, we'll be paying special attention to that.
Everyone is human in Mad Max, so we won't be needing to do this. Some settings (including my Stargate conversion) treat different cultures of humans as different "races", but I think that's probably unnecessary here.
New Edges & Hindrances
Now comes one of the trickiest parts of the game. You may want to create some new Edges & Hindrances for your setting. First, realize that you probably don’t have to. What’s in this book covers an awful lot of character types.
What you really may want to look at are Professional Edges. These help you create the archetypal characters of your world. A Savage Worlds character with the Woodsman Edge, for example, is a “ranger” in most swords and sorcery games.
This quote then continues on with advice, giving an example of creating a "Hunter" Edge for someone who hunts down vampires in a Matrix-esque sci-fi world.
The core book has a lot of Edges that will cover the core archetypes. Ace, Rock and Roll!, and Steady Hands covers the vehicular combat pretty well. Woodsman, despite the name, seems pretty fit for a survivalist in the Australian outback. And the Leadership Edges work well for the gangs.
You'll probably be banning a number of Edges that don't fit. Since there is no magic in the world, you'll ban the Arcane Backgrounds of course. Hindrances can be banned too. Doubting Thomas really isn't appropriate because there aren't any supernatural elements.
If you decide to make new Edges, Professional Edges might be really good for this. Perhaps you might create a "Road Warrior" Edge with Ace as a requirement that allows one to get a +2 bonus on their Driving roll while performing a Vehicle maneuver.
Deadlands: Hell on Earth Reloaded has an Edge called "Wheels" that gives you a vehicle and lets you trick it out. Given the importance of driving in the setting, something like that would probably be pretty important.
This isn't a section in the chapter, but I figure it's worth mentioning. In order to best replicate the feeling of Mad Max, you'll probably need to have some rules for tuning vehicular combat and for things like oil scarcity and scavenging.
If what I see in the trailers is typical of the movie, a setting rule of "incapacitated cars explode in a Medium Burst Template" might be appropriate. For scavenging, there are some setting rules from Deadlands: Hell on Earth Reloaded that you can probably steal instead of making your own.
The Chase rules should work pretty well for vehicle combat, since most of the time everyone is pretty close to everyone else (just interpret the range penalties instead as situational penalties for if you have a shot or not. A –4 might mean there is an exploding car in the way).
Oil scarcity is something you'll have to probably make up for yourself. My advice would be to tweak the Travel rules to involve oil scarcity, and perhaps come up with a Fast! Furious! Fun! way of determining how much gas was lost during a crazy vehicle fight with all the maneuvers (or on the other hand, just ignore it since gas conservation isn't really a concern when you're having a cool chase).
Also, look through the "Setting Rules" chapter in the core book. You might want to use the Blood & Guts setting rule (everyone can spend a benny to reroll damage, without No Mercy). See if there are any others you like as well.
You'll definitely need to shoot up people and have tricked out cars. If you can't use the gear in the book (or another published setting), you can generally just take stats from some existing weapon, cross out the name, and give it a different one. I went into more detail in an answer to another question.
Trim the Fat!
After adding everything that you think you need to, consider cutting anything you feel you don't really need. Less is more with Savage Worlds, you really don't need hundreds of Edges or loads of tweaks to the Vehicle rules.
You asked "And how do you track the movements of important characters like Max in adventures?" The short answer is: don't. Your game is about you and the characters at the gaming table. It doesn't matter what Max is doing if it doesn't involve the characters in the here and now.
Consider Deadlands, Pinnacle's flagship product with loads and loads of setting info. There are a number of major players, but aside from general goals, what they are up to is never described unless they run into the players. Stone may be hunting down someone in Montana or shooting for sport in Kansas. But if your posse is in California, it really doesn't matter. In the same way, Max only matters if you as the GM decide that you want him to meet up with your party. Keeping track of what he's doing elsewhere will be a headache for you as the GM and having the players hear that someone else is doing cool stuff in another area is probably going to be a turn off for your players.
It's worth noting that if you're interested in doing Mad Max as a one-shot, you might consider just having your players be Mad Max and his allies. Whenever I run a Stargate one-shot, I have the players be Colonel O'Neill and the rest of SG-1, not the no names from SG-8. This has the benefit of helping the players already know who the characters are, and it means that they can do all of the cool stuff they expect to do without feeling like they are playing second fiddle.
Creating a Mad Max setting in Savage Worlds is easier than you think, and all the advice is already at your fingertips in the core book.