I posted this tip in an update to my Devlog for my game, Sprigs, but I’m creating a separate post here to surface it for future creators.
Ever notice the “Phys Material” setting in the Details panel for your custom Materials, and in the parameters for your Material Instances? This determines the SFX and VFX produced by a player’s footsteps, jumps, and pickaxe hits on a surface. Some Physical Materials even alter player movement, like Ice (slippery!) and Lava (ouch!).
Here are pickaxe hit VFX differences:
Any custom static mesh will take on the VFX/SFX properties of the Physical Material painted on it. For props, check “Use Physical Surface for Footstep” in the prop’s Blueprint. UEFN comes with 13 options, presumably all from FN. Sometimes you need to get creative, like using soft Sand Physical Material for my fabric and carpet materials. I love the Wood footsteps 
Turn your volume up for this video ^
Someday I would love to import custom Physical Materials into UEFN like you can in UE, but atm it appears we only have access to the 13 FN ones.