1.Setup MouseWheel inputs.
Look under Project Settings > Input > Bindings >
You can set MouseWheel Up and MouseWheel Down as ActionMappings or use AxisMappings for MouseWheel Axis.
https://docs.unrealengine.com/en-US/Gameplay/HowTo/SetUpInput/Blueprints/index.html
2.Use these InputEvents to first find out in which direction the actor has to move.
Get it’s world location and the players world location.
Use Get Unit Direction Vector to get the direction to the player
3.How to actually move it (there are different ways) depends on your pick up object system, but you did not show us how it works.
Cheers!