May graduated Phi Beta Kappa from Dartmouth College in 1926. He then went on to join Montgomery Ward where he created Rudolph in 1939 as an assignment for the company. The retailer had been buying and giving away coloring books for Christmas every year and it was decided that creating their own book would save money. 2.4 million copies of Rudolph's story were distributed by Montgomery Ward in its first year. Because May had created Rudolph as an employee, he did not own the license. However, in 1947, he was able to convince the company's corporate president, Sewell Avery to turn over the copyright to him. He is a great-uncle of economist Steven Levitt.
May is buried in Saint Joseph Cemetery in River Grove, Illinois.