This is being made assuming you know how to use UE viewer.
Import all the relevant psk files using the psk/psa addon. I usually check the 'reorient bones' box on the top right.
Bryan will be used as an example. He is split into five pieces for his T7 default costume. The upper body (bdu), lower body (bdl), head (fac), hair (har) and mask (hed).
Use Ctrl + left mouse click to select all five armatures on the outliers on the top right.
Once you select them all, press Ctrl + J. This will combine all the armatures into one. You can reveal the five meshes by clicking the arrow next to the armature in the outlier.
Select the armature and enter 'edit mode'. You can see the armature has 5 full skeletons contained in it.
Click 'MODEL_00.001' and then select the similar suffixes using the method shown in the picture. This will select every bone that ends with '.001'. Right click and delete all those bones. Repeat this for all bones ending with '.002', '.003', '.004', etc.
What you're left with varies with different characters and meshes. Now we need to combine what is left into one complete armature.
As you can see 'HEAD' and 'Head' (notice the upper and lower case letter there) are separate but should be combined into one.
Combine all the 5 meshes using Ctrl + J. Use the 'VertexWeightMix' modifier and choose the same settings shown in the picture. Then apply the modifier.
You can now delete the 'HEAD' vertex group, as it's not needed.
As you can see, rotating the eyes causes it to leave the head. This is because importing the armatures into blender causes some of the bones to be offset from their intended positions.
This is what the face bones look like from straight ahead using the orthographic view. Select all the face bones and make sure you didn't accidently select any other bones.
Move the bones straight down to the position you see in the picture. One thing that helps is making the lower lip bones line up with the lower lip itself. Also this method of moving bones may also need to also be applied to the finger bones.
You can separate the meshes. You can separate them by entering edit mode, selecting all vertices and selecting 'separate by material' as shown below.