You need to have 1 mesh set as the base of your skeleton. You can swap out the skeletal mesh component at a later time but you cannot import just the skeleton (it needs any geometry data attached)
Upon importing the rest of the models choose the already generated skeletal mesh, then use the set master component node
here is a simple example with a toggle on 1 key
And all of the parts need to be exported on the same skeleton! So it all needs to be skinned to the same bones