Correct way which will surve full pipeline (in case if needed) without getting artifacts in shading of Blender > Baking&Texturing (marmoset toolbag/substance painter/anything else) > Unreal Engine:
Make sure you enable Auto Smooth and set it to 180deg, when set your hard edges where needed
In case you baking you baking in Toolbag, make sure you using MikkT space. Not sure about Painter/xNormal/something else cause im only use Toolbag. But if MikkT space option are exist - use it.