Hello !
Yes, you need to make your bones in Blender like in the same way as if you were going to animate it there, in fact, you are going to animate it there.
Unreal reads bones from an .fbx and also animations.
I leave you a link to a community tutorial about animations from Blender to Unreal
(Is for Unreal 4 but in 5 it’s practically the same)
And a link to the documentation page about .fbx animations:
I hope this helps you!