hey martin,
download the actorx plugin for maya and stick it in the plugins folder, restart maya, open your project, make all your animations required in a row in any order you like, type 'axmain' in the MEL box to bring up actorX Exporter - that is where you name the mesh, animation and its timeline range, repeat the animation name saves to keep adding new anims to the PSA file for use in UDK.