In The Declaration class definition file (.h)
UBoxComponent* CollisionMesh = nullptr;
In The constructor class definition file (.cpp) :
CollisionMesh = CreateDefaultSubobject<UBoxComponent>(FName("Collision Mesh"));
If you need to put it at the top hierarchy:
SetRootComponent(CollisionMesh);
If you need add other child component like particle system :
Blast = CreateDefaultSubobject<UParticleSystemComponent>(FName("BlastExplosion"));
Blast->AttachToComponent(RootComponent, FAttachmentTransformRules::KeepRelativeTransform); // since 4.12 isn't AttachTo(1arg) anymore, but AttachToComponent(2args)
CreateDefaultSubobject works only in constructor. Everywhere else use NewObject.