As Jwatte mentioned, you can export directly from the engine from it’s UAsset to an FBX format:
I would also recommend working in a 3rd party software like Blender into your 3D pipeline, as the modeling tools inside of the engine are nice, but they are mostly used for small modifications to existing models or for placeholder/grayboxing levels. They aren’t as robust as a program designed for 3D modeling, rigging, texturing, etc.