3ds max to UE4 - beginner questions about best workflow

Thank you for the tip!
Yesterday I finally found time to try this, tried with separate pieces and luckily it looks ok, i’ve tried the FBX Scene Import (it looks very useful) but I had some problems with meshes in different location compared to 3ds Max (probably some pivot/trasformation of objects were weird), but with the standard import everything was okay.
Next time i want to try what you say, build a complete wall piece all in a mesh with different ID!
Here the first result, I’ve already learn ed a lot of things. Thank you!