(Please expand vertically this guide window as much as possible, because the next step has plenty of text and unfortunately it's not scrollable.)

Let's start by creating a few maps to export. Click the New Map button, which is the first button at the left, above the Editor area.

At the right side of the New Map window, in the bottom, click Select All, to check all map types for creation.

But now let's uncheck the Displacement and the Opacity maps, so that we can later see a feature of the Export window.

And finally click Create to initialize the new maps.

Above the Editor area, between the Save As and the Close buttons, you'll find the Export Maps button: click it to open the Export Maps window.

At the top of opened window you can select which preset to use in the Preset drop menu: please choose "Unreal".

Below the Preset description, the Output Maps lines list all the maps that this preset will export. Any of these output maps can be unchecked if not wanted.

Place the mouse over the filename text field, in the first line. A tooltip will appear showing the channels and sources that will be used to create this output.
You should see something like:

Channels:
RGB=Base Color map:
A=1.0 (default)

This means that the RGB channels of this output come from the Base Color map. And that the A (alpha) channel is set to a default of 1.0 - usually it would come from the Opacity map but since we haven't created it in the previous step, a default value is instead used.

Move the mouse over the filename in the second output line (named _OcclusionRoughnessMetallic): the tooltip shows the involved channels and their source maps.

Now notice the third line which outputs the _Height map: it's automatically unchecked because it depends on the Displacement map, which we haven't created in the previous step.

In each line, next to the output filenames are the Formats and Bits drop menus where you can select file format and precision bits. Output files with RGB and alpha channels can be of type PNG or TIFF, while RGB or grayscale files can be in any of EXR, JPEG, PNG or TIFF formats

Now let's enter the prefix name to use in creating the exported filenames: this is done in the Base Name text field. As you type, the filenames above will update to their final values.

Next, select a location where the files will be written to: this is done in the Folder setting.

Finally click Export. The output maps will be packed and saved, ready to be used in Unreal Engine (the preset we chose above).