Are you wanting to show an XYZ widget itself, right? If so, you will most likely need the following:
Your arrow mesh that can be clicked on to drag whatever actor you are moving. This may be 3 separate meshes so you can highlight a specific one.
You will need an unlit material and/or to use a custom depth to see your objects through your mesh.
You will need to make your character unclickable/able to be clicked through, and from there you would want to lock your drag for each arrow to a specific axis.
I hope the above points you in the direction you are looking for!