Unreal Engine 4 already uses PhysX, the 4.14 uses the 3.4 what is not released public yet. But in other hand don’t thing is that easy as setup the lib, you will have to change the engine code in order to make it work with GPU I imagine…
Not only PhysX but APEX destructible meshes are already implemented, simply import your .APX or .APB files or use the built in destructible tool to create one from a static mesh in the UE4 editor.