If you create your own blueprint, it doesn't have a socket manager. How do you create a socket on a user created blueprint?

[RogueSheep]

Without knowing the precise setup/hierarchy of the puzzle pieces, I would say add the socket to the mesh. Another way is to add an SceneComponent in your BP hierarchy. See for example the gun BP in the VR template, the GrabComponentSnap is used to snap the gun to the hand mesh.