You can rig things in UE, but then it needs to be a skeletal mesh of course. I think things are most easily animated in an external tool like Maya or Blender.
Or, you could just cut that process right out and get a whole load of weapons and animations for like 5 bucks:
EDIT: Whoops, not sure if anims are included there.
Yes, couple it with:
EDIT2; Or just get the whole caboodle with:
Seems very popular. It really depends what your priorities are. You can have all that for 20 buck, or spend 6 weeks trying to make a decent single weapon animation.
LAST EDIT: Apparently this is stuff in engine now for making animations:
I can’t really say much about how easy to use it is…