To the left is the UV of the Cube in the image editor, to the right is the cube in the 3D viewport. This is done in Blender internal, but it does work with Cycles as well - to the limited extent it does. Blender materials are not compatible with UE4 - UE4 will import the material slots, and it will know which part of the model the material is assigned to, but it will not store any data regarding to the material itself. You have to make the materials inside of UE4, or some other application that is compatible with UE4.
Remember that in internal the default material slot that is assigned to every object is sort of a blank material slot that applies to the whole model. We have created the two extra material slots because we want different parts of the model have a different material. One material is for 5 of the cube’s sides - the material name is 5sides - and one material is only for a single side of the cube, named as 1side. In the UV layout, I have also separated the different materials into their own islands.
Once exported, the above image shows how it looks inside UE4.
Now we could make a texture for the object in whatever editor we wish.
Save the texture image, and import it separately into UE4 the same way you imported the FBX model - the import tool works just the same way for images as it did for FBX files.
Once you have the texture in UE4 content browser, assign it to the materials.
As the materials as separate, we can edit them separately.