I made my very first addon for Blender, and naturally it is a little helper for UE4.
MakeShapes was based on MakeTarget2 and will import targets as shape keys, after that you can export all the shape keys as a faceshapes.mxa file, and MHX2 import will happily process this file and add the shape keys to your MHX2 imported characters (both base and proxy mesh).
Finally you can export this to FXB and all the the targets/shape keys will work in UE4 - and probably other game engines.
You can find further addon documentation in the wiki: http://www.makehumancommunity.org/wiki/Documentation:MHBlenderTools:_MakeShapes#Using_MakeShapes
and you can find the addon on GitHub: https://github.com/AssetDK/makeshapes
In the next version of this tool I will add attempt to turn all "expression builder" targets into shape keys.