If you’re wanting to import your own characters with their own skeletons, all you have to do is export the skeleton and all parts of the mesh (doesn’t have to be one piece) as FBX and then import it. If you’ve exported properly, the UE4 importer will default to “Skeletal Mesh” up at the top (between Static & Animation). For animations, you only need to export the baked-out skeleton as an FBX and it will default to Animation, then you just select which of your existing character skeletons the animation is for.
Hope that helps. The documentation does actually go over the workflow for creating your own characters here: