in Maya or Max you would create the main mesh, add the meshes representing the collisions and group them in a single name (will be the name which UE4 will use to name the mesh), using UCX_mesn_NN, where _NN is optional and you will only use if you want one collision per LoD, so _00 for LoD0, _01 for LoD1 and so on. Of course you will only add extra collisions if you are going to provide the LoD meshes aswel, otherwise if you add the LoDs inside the mesh editor within UE4 Editor, the main collision will be shared by all LoDs.