Works fine, be aware that Unreal uses X-axis for forward so for characters and things either model them that way OR what I am seeing a lot of in examples is rotate the character -90˚ inside his/her capsule
You have to export manually to FBX (2013 FBX is the supported one), export the FBX file somewhere and then in Unreal right click in the browser and ‘import to here…’ navigate to your FBX file.
If you leave combine on it will all become one mesh but I can see now way to break it apart again so if it was for example a plane with a prop either use two FBX’s or make sure you untick the combine option.
Its not as streamlined or as easy as Unity but it works fine.