You can create it all in Blueprints.
Right click choose Blueprint class → allclasses → DataAsset → PrimaryDataAsset
This will create a PrimaryDataAsset. You will then find this when you use Misc->Data asset.
You can then use a node like GetAssetsByClass to loop through all your assets and if you check the Search sub class check box you will get those as well
Take note of the _C at the end of the name
In my example below WeaponAsset_DA was created as a child of the GameAsset_DA
