Hello, I just want to add a few minor corrections/commentscomments here, since this is a topic very close to my heart:
Finite MCM modules are not known to exist in dimension 3. What Hochster proved for equicharacteristic case and also in general dimension 3 (based on Ray Heitmann result) is that non-finitely generated MCM modules exist.
If R is a N-graded domain over a perfect field of char p > 0 and R is locally Cohen-Macaulay on the punctured spectrum, then R admits a finite MCM. A proof can be found in:
http://www.math.utah.edu/vigre/minicourses/algebra/hochster.pdf
A possible candidate for a counter-example is the local ring at the origin of the cone over some abelian surfaces.
Many module-theoretic consequence of existence of finite MCM can be deduced from existence of non-finitely generated MCM and other approaches to the homological conjectures, so it may be helpful to what you want to do.
Cheers,