The full workflow is as follows:
(A) Build all your assets in any 3d modelling program, (Maya, 3DS Max, Blender etc) - this can be an entire world, split into different districts, (as in Liberty city in the Grand Theft Auto series) . Make sure you separate your world up into smaller districts of map sections, (mainly for an idea of where everything is, but not readable by your game engine)
Apply your materials to each object and assign the correct Mat ID’s to each model so that UE4 knows which group of poly’s to assign each multiple set of materials to.
(B) Create selection sets or groups, (to make your export tasks easier to manage with massive groups of models) - but, UE4 and UE3 will not recognise those groups, selection sets or whatever. Wherever your models were placed in your Maya or 3Ds Max world, they can be place in the exact same place in UE4, by selecting 0-0-0 in their transform coordinates. Try to import smallish groups of models to avoid the engine content browser from bogging down in creating hundreds of materials. Once they’re in the browser, they can be placed in the world transforming each axis to zero, as explained above. Always uncheck combine models in the import settings, because if your models have a material ID set of 1-2-3-or 5, UE4 will not know where to assign materials of the various models.
(C) If your imported models were exported with embedded media checked in the FBX export settings, your textures will be contained within the FBX, so UE4 can find them if you checked import textures and materials into UE4. UE4 will make basic materials out of the imported textures and not recognise any fancy Maya or 3Ds Max materials, neither will it recognise Mental ray or V-ray texture or material channels.
(D) Take your time in following the above steps, (read up or watch tutorials on anything you don’t understand in my description above. For example, most new users to modelling or the workflow from modelling to game content, aren’t aware of the Material ID system that all versions Unreal Engine and of 99% of game engines use. It’s simple stuff, but if you don’t know, it’s as complicated as quantum physics. 
