I use Inventor to model modular bathrooms and self contained units for our company. Inventor uses Autodesk architectural materials and this makes it easy to move the model to max, showcase and inventor publisher for presentation and rendering. The problem with moving the model into unreal is that fbx export does not support architectural materials so this creates a lot of work to add materials after imported into udk, and this makes it more difficult to convince the powers that be to make udk a part of our process.
Any suggestions to make this process easier ? I did start a udk material package to mimic the architectural materials but it fell by the wayside due to other priorities.
Your best bet is to continue making your material library in UDK. You'd want to do that anyways in order to get the full power from the UDK shaders anyway (normal, spec, reflection, grunge, etc). The Autodesk materials speak a different language and will not import into UDK...unless you get a technical guru to write a tool to do it for you. Anyway, some of those materials use procedural maps, which wouldn't translate to UDK. You'll learn to appreciate your custom UDK material library since it will use proper map sizes and stuff. I know it's a lot of work, but it's worth it.
What we've done here is create an "uber shader". This shader network had parameters set up for pretty much everything. That way, all the artists do is create a material instance and just plug in the maps. Fast and easy!
Tearl is pretty dead on technically. You can auto-apply materials on import if a material or MI in the package has the same name as the material in your autodesk product. Also, you can export (from MAX, atleast) your FBX with the "Embed Media" Checkbox and import with the "Import Textures/Materials" checkboxes checked and UDK will automatically create materials based on your MAX material. this of COURSE has some caveats: Real-World Map Scale isn't respected (In fact, i don't think the material's Tiling parameter is respected at all) and arch-viz materials aren't supported at all, really. However, a clever scripter could write an exporter that managed all that on export, allowing a faster iterative process, then for the final you could go in and tweak the shaders created to be exactly what you want.
Never worked with Autodesk materials and we use Maya but the materials do import into UDK via FBX format. Although it only imports the texture and creates a material node. But once the material is assembled... and as long as the name of the material continues to match, UDK automatically assigns correct materials to correct mesh on subsequent imports.