Ideally you aught to have access to the original files used for UDK production, that way you're simply exporting out original data to an XNA supported format. If not then you're going to need to find an import script for PSK/PSA (ASE or DAE) to import the UDK assets into a 3D application, which can then be exported back out to the appropriate XNA format. Notwithstanding copyright and/or distribution issues with respect to taking assets from one game and putting them into another - a big "no no" without asking permission from the author - using one of the above formats should retain the mesh data associated with the model. Alternatively using OBJ or 3DS could be used for import/export but may result in data loss, typically of that associated with UVW maps, but generally mesh and material info is kept.
