Change FPS Mouse Sensitivity

How can I change the FPS camera sensitivity to look around in C++? Or is this not something to do in C++?

You can scale the value from your controller input when adding it in your pawn/character. You can do this in Blueprint or C++.
In C++ it may look something like this:
(but the same functions are available in Blueprint)

UPROPERTY(EditAnywhere, BlueprintReadWrite)
float MouseSensitivity = 0.5f;

// .cpp
void APawn::PitchView(float Val)
   AddControllerPitchInput(Val * MouseSensitivity);

void APawn::TurnView(float Val)
   AddControllerYawInput(Val * MouseSensitivity);