You can export them in parts if you preffer so and combine it in blueprints. select the part you want to export and then when exporting chosing the name check export selected.y
Also the good point is that all the objects have the root point in the exact place so if you put them in a bp the will appear perfecly alligned
://i1380.photobucket/albums/ah198/Krzysztof_Kantoch/export%20object%20blender_zpsiyutx8kl.jpg
theres a post here a made a door with 3 parts exported separatedly to animate it in blueprints https://forums.unrealengine/showthread.php?68767-Free-Simple-Space-Blast-Door-(No-texture-Yet)&highlight=blast+door hope it helps
Or if you want them also as single object (like guns for example) you need to rig and animate it to have moveable parts