I do not have the skills to write a tutorial about that. However, if anyone do that, I have to say it works very nicely, thanks to a PSK/PSA script developed by Darknet, VendorX, Optimus_P-Fat, Active_Trash and Sinsoft.
A model I just imported from Blender:
However, you have to follow these guidelines:
-The model have to have just one mesh and one armature. Use "Join" to unite the mesh, and parent the main bone of all armatures to just one main armature.
-You have to do an "Apply" in all transforms before exporting.
-After exporting, UDK will import the mesh and the materials, but not the textures. You have to open the Content Browser again, import the Texture image files and assign them to the materials.
-For the animation to work, ALL THE VERTEX must have been assigned to some bone, even if the bone is static.
When running Blender, run "blender -d" for verbose mode. Whenever there is any export error, the script will show it in the console window for you to correct.
ps: You also have to activate the add-on by going in File -> User Preferences-> Add-ons and check the script "Import-export: export unreal engine format (psk/psa)". I'm using Blender 2.59.