I wouldn't recommend using Milkshape because it has bugs with psk and psa import. Even more, it doesn't support animation without translation keys - these keys are required for "vanilla" psa format, but they are often missing in UE3 games. To fix this situation, I've extended psa with ".config" file which is exported next to psa file. This .config is supported by my ActorX importer for 3ds Max - this is only the way to import such animations correctly.
So, I think you must use 3ds Max, with importer script. Also, I believe it shouldn't be a problem to save posed mesh into a file (however I don't know how to do that
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