There have been numerous posts on the topic, and a tutorial on the wiki on how to link static libraries. Build TinyXML as a static library (directly in VS/XCode, not through UBT), then wrap the library in an external module, and add the module to your primary game module’s list of dependencies (as you do with any other UE module). Examples of this can be seen in the ThirdParty source directory in the engine source, and also here.
I’ve been using PugiXML myself, it’s very easy to just drop the 3 source files it consists of into an existing module. The built-in XmlParser had quite a few limitations last time I tried it.