create a collision mesh in your 3d program, name it UCX_yourmeshname and export it with your mesh
then in the physics editor delete all bodys - add a single body - then you can add the custom collision mesh from your skelmesh.
Hmm, I was using a separate static mesh with a single triangle for the physics collision but setting that mesh to invisible. This might be the better way since it adds collision to the skeletal mesh directly.
It is pretty easy though to manage and do complex collections of convex meshes for a gun with many protrusions and still just use the static mesh import pipeline without extra steps of copy pasting convex hulls around.
I should note that in order for it to work you have to have your mesh imported twice, once as a static mesh and once as skeletal. Then you can use the static meshes custom collision on the bone. You can then delete the static mesh.