When a Skeletal Mesh is imported, there is an option to generate a Physics Asset for it as it is imported. Once the imported file is processed, you will be presented with the
"New Asset" dialog:
However, you can follow these steps if you need to create a Physics Asset for a Skeletal Mesh at a later time:
Find the Skeletal Mesh asset you wish to add a Physics Asset to in the Content Browser.
Right-click on the Skeletal Mesh in the Content Browser to bring up the Context Menu -> Create -> Create Physics Asset.
Adjust setting to your liking.