If you want to use the baked lighting system each piece of geometry must have a 2nd uv channel unwrapped carefully. This will contains shadow informations once the lighing has been built.
I’m not sure if it’s even possible to do directly in sketchup. Most people bring the model in max or blender to uv unwrap a 2nd channel.
https://docs.unrealengine.com/latest/INT/Engine/Content/Types/StaticMeshes/LightmapUnwrapping/
It can be a very tedious task but thankfully there are plugins for 3ds max that can do it automatically in 95% of the scenarios if you model carefully (think, modular), like http://www.scriptspot.com/3ds-max/scripts/steamroller
Good luck man! It’s not that easy at first.
Unreal can auto-generate lightmaps when you first import a fbx file but it may not give outstanding results, especially if your texture uv’s are messy to begin with. I strongly suggest to learn to use steamroller instead.