If you export materials with your FBX, and import them into UE4 with the FBX, you should see all your materials in the content browser. I’ve tried downloading the PetcoPark model from the 3D Warehouse and all its materials are imported into UE4 correctly:
If you want to manipulate the materials that were imported with the FBX, feel free to do so, or alternatively change the material assignments for your own authored materials. If you want specific control over the UV coordinates in your models, then you’ll have to do that in sketchup, but we do have the ability to generate UV coordinates for you in UE4s static mesh editor.