There's a faster, easier way now: https://youtu.be/-IPi4JdTooM
Let's create a simple control rig in Unreal!
This replaces an older video from before there were any good tutorials. Now there are other tutorials, but it seems weird to take down the old one and not offer a replacement.
Something I forgot to mention: if you delete or add controls/bones, don't forget to recreate the arrays, or you'll have nulls. Also, this is a very simple brute-force setup. Obviously this is not where you should stop - it's just to get you started.