How do I apply collisions to meshes in Blender?

How do I apply collisions to meshes in Blender?

Hi, you will find collision under Physics properties

If I export my Blender project into the unreal engine 4, will the collision data be saved?

That I have no idea as I do not use unreal engine. I suggest to save this easy animation and open it in unreal engine.

Nope, unreal engine uses its own collision settings.