Load the full Character into an empty scene in DAZ3D. Select the main character in the scene tab.
Bring up the Geometry tool.
Place the mouse cursor over the mesh and right click. select Selection Type: Polygon Selection.
Then use the Marquee Selection or Lasso to select the polygons to delete. By holding the ctrl key you can select different parts of the mesh under the clothing.
Right click and select Geometry Editing: Delete selected polygons, click Yes.
Don't forget to run the script!
Export it by giving the same name as before.
Go to Unreal Engine and reimport the mesh by right clicking on the mesh and selecting reimport.
Look at your character: Nothing pokes trough anymore...