For multiple materials on the same mesh, you have to use material selections in C4D.
- in polygon mode, select all polygons that should have a certain material assigned
- from the menue select selection>freeze selection to get a polygon selection tag
- rename the tag to something suitable (e.g. the name of the material you plan to use)
- add the material to the mesh and in it’s material tag enter the name of the selection tag in the selection field.
Now the material will only show up on the selection.
Repeat this for every material your mesh will be using.
Pro hint:
if you have multiple mesh objects each with their own material and use the “combine objects” command,
the selection tags will be automatically created for the new combined mesh object.
So for example, if you model a window frame and insert a plane for the glass, just assign a frame material to the frame
and a glass material to the glass before combining them to a single object.
The rest depends on your fbx export and UE4 import settings.
You have to check the export option for Textures and Materials in the fbx export dialog.
Also the import settings have to have import materials enabled too.
But i guess you allready knew that.