UDK Forum member draxov made a tutorial on how to make a melee weapon in UDK using trace sockets.

This video explains:

• How to rig the model in blender
• Export it as an FBX
• Import it into UDK
• Setting it up in UDK
• Scripting the melee weapon with X-Editor

For More Information and source files, visit his UDK Thread: http://forums.epicgames.com/threads/915761-UDK-Melee-Weapon-Video-Tutorial