I have been able to play with the soft body with the physix gun, but I ran into a lot of problems. I found the solution by combining the info you get in the 3DBuzz's video tutorials available on the UDN about physics.
Create a physic asset from your skeletal mesh
Import the physic asset in the level
Set the properties of the asset as follow : in the soft body tab of the Kasset tab, enable soft body simulation and Soft Body Awake on Start ( this one is not mandatory), pick RBCC_GamePlayPhysics in the Soft Body RBChannel and in the Soft Body RBCollide with Channel, choose default and Gameplay Physics.
But as I said, I m running into lots of problems. The Soft Body reacts to the physix gun. If not, set the mass scale of the bone of your physics asset to something really low like 0.1, or its gravity scale. But for some reason I eventually "crash the simulation". What I mean by that is that it works for a while, you grab the thing, play with it, throw it against the wall, but at some point, you can't anymore. And that's when you play the level in editor because I think that when I tried to on PC, it wasn't working at all.
So if anybody has a solution, a work around or knows why it's kind of buggy, let us know. I really need that to work for a project.
Oh, and sometimes the mesh appears abnormally distorded in game...