The following instructions are pretty abridged and admittedly rushed, but hopefully it will help until I remember what thread I saw recently that has more detailed instructions as well as video tutorials. Once I remember, I will reply with a link to that thread. In the interim...
1.) Create custom character in character Creator 3
2.) Send character to iClone
3.) Add or create animations
4.) Export character in FBX format
5.) Import character into Unreal Engine in T Pose without animations
6.) Import character animation into Unreal Engine, using the original character as skeletal reference. Be sure to uncheck skeletal mesh, as you only want to import the individual animation.
7.) Repeat process detailed in 6 for each animation you intend to assign to said character
Now when you double click the character's skeletal mesh, in the "test animation" pull down menu, you should see all of the animations available that you have imported for the character.