Not sure if this is BEST practice, but this is how I have done this sort of thing:
Create, rig (with Biped) and SKIN the character.
Export character (only…not the Biped) as FBX, leave bake animations unchecked.
Import into UE4 as skeletal mesh.
Back in MAX, I loaded my mocaps (I used ipi software) onto the biped.
Select the character (not the biped) and export again…bake animation
Import into UE4, but uncheck import mesh and make sure to use the skeleton from the first import.
Rinse and repeat for each animation.