A skeletal mesh will have a physics asset associated with it. In Persona under the details panel you should see a Physics Asset. If you press the magnifying glass it will take you to the content browser where the physics asset can be double clicked. This will open up PhAT which will allow you to add collision.
Here are some video tutorials on using PhAT:
https://www.youtube.com/watch?v=10j4jn4VXxA&list=PLZlv_N0_O1gaCL2XjKluO7N2Pmmw9pvhE&index=5