1. Making a weapon starting from a Skeletal Mesh
Open the weapon's skeleton and add two sockets naming them "Start" and "End". Place the Start at the base of the weapon and the End at the tip of the weapon. Those will be used by the daamge system to calculate the part of the weapon that will deal damage (more info here).
Duplicate the ACFSwordBP, and replace the mesh with the skeletal mesh that you're working with. Name it something else.
Scroll down to in the details to the OnBodySocketName and In HandsSocketName, and put here the name of the sockets that you want the weapon to be attached to on the character skeleton.
Open the playerbp that you are using, by default ACFFullPlayerBP, and select his ACFEquipmentComponent from the Components List. Scroll down to the StartingItems and add an element, find the weapon blueprint that you made and add it.
Hit play, find the weapon in your inventory, equip it, and swing it around!
2. Adding Sockets to your skeleton
Most likely a custom weapon/weapon from another pack won't fit in the socket that is set for the current sword, so you'll want to open the skeleton that you are using (if you are using Ultimate UE4 Player, the ue4 ascent skeleton is what you'll open, and if its the Ultimate Player you would open the UE5 Ascent Skeleton).
Find the spine_05 bone and make a socket. This socket will be where the sword is when it is on your back. Right click the socket and select the Add Preview Asset and select the weapon that you are wanting to use. Align the weapon properly onto your back. Name the socket to something you will remember for it will be called in the weapon blueprint.
Find the hand_r bone and make a socket. This is where the sword will be when it's equipped in your hand. Follow the same steps adding the preview, align, rename socket to something you will remember that isn't the same as the one on your back.
2. Making a weapon from a static mesh
If you want to create a weapon from a static mesh you’d need to first convert it to a skeletal mesh. You can do this directly inside the Editor:
Export to a temporary location on your computer.
Right click the content browser and import the .fbx that you exported.
Select Skeletal Mesh and I uncheck the collisions.
Follow all the steps of the previous paragraph.