Hooking into UFbxFactory::FactoryCreateBinary()

*.obj files store material information in *.mtl files.

Already told you that. yourFbxFactory->EnableShowOption().

There are two parameters called context. Which one? You can pass 0 to 5th parameter, and GWarn to the last one.

Load texture into buffer, pass buffer to UTextureFactory. See SpeedTree-related and FbxMaterail-import related functions for examples.