Now, probably the longest chapter.
First, a quick explanation of how everything here works. Unreal Engine uses .pak files to load game data. It supports loading "patch" files or "chunks" with additional content to avoid dropping 100gb game updates. We are going to use that feature to make Oblivion think we're just supplying it with a patch as our mod.
Open up Unreal Engine 5.3.2 from Epic Games Store, click Games tabs, pick "Blank", set it as BLUEPRINT, disable "Starter Content" and name it exactly "OblivionRemastered".
After engine launched, you'll have to enable few features. "Edit->Editor Preferences->General->Experimental", scroll down and tick "Allow ChunkID Assignments". This will let us choose a pak to put our mod into. Now, to actually output the paks, "Edit->Project Settings->Project->Packaging" and tick the "Generate Chunks" option.
Finally.
Now, let's import the FBX file, first create the correct path, which is "Art/Character/nord". Now, drag n' drop your fbx inside.
You'll get a popup with import settings, you can keep these default and it should import without any errors. If you got errors, let me know, I might have forgotten something.
You'll have all the files in your "nord" directory. As you might remember from earlier, I said underwear belongs to the Imperials, and skeleton and physics are shared among humanoids. You can look up that data up in the nord body uasset in FModel as an exercise, but I'm gonna tell you the correct answers anyway

Move your "Skeleton" and "Physics Asset" to "Art/Character/Humanoid" and rename them to "SKEL_HumanoidSkeleton" and "PA_Humanoid_Simple" respectively.
Important! Different races have different Physics Assets! Double check in FModel!
Masculine men and mer are "PA_Humanoid_Simple", feminine are "PA_HumanoidFull", while cats and lizards are both "PA_Humanoid_BodyPhysics".
Once again, double check!
Now, underwear, that's your "MIC_Imperial_Underwear_m" file. As you can probably guess, that goes to "Art/Character/imperial/" directory.
With all that behind us, we can finally test the export. Go back to your "nord" directory, right-click the Skeletal Mesh and "Assign to Chunk...". Pick any number higher than 0, that'll be your mod id. Only important here, for the export, inside your editor, won't change anything for players that download it so don't worry. Remember to save!
Why only the mesh itself? In this situation we want to re-use the assets already in-game. Setting it up like this will make sure your textures, materials, skeleton, physics, animations etc will work. Rule of thumb is, only add to the chunk what you edited to avoid breaking too much.
FINALLY, click the "Platforms" button in the top bar, choose "Windows" and click "Package Project". Select a location and wait.
First one will take way longer, but after it's done, you'll have a full project generator. Open it's dir, go to "[Dir]/OblivionRemastered/Content/Paks" and you'll see your three "pakchunk-Windows.*" files. Rename them to "[ModName]_p.[pak/ucas/utoc]" and throw them into your games Paks directory.
That's it. When you launch the game your mod should be automatically loaded.
This is all obviously just basic basics, doing anything will require fiddling and experimenting, but the overall method is the same. If you want to change textures, just edit your T_ files instead etc.