I successfully emulated volumetric lighting for yoke lights in Unreal Engine 4.
I included the cone as part of the exported model. By setting the opacity map to a gradient, it becomes more transparent the further away the cone is seen. This is done by mapping the opacity gradient to the cone appropriately. The diffuse is solid white multiplied by the color set to the light of the in-world light placed with the Yoke. :) Each colored light is it own blueprint within UE4.
The Yoke Model has a rig I made in 3ds Max alongside a very default spin animation to sample them in Unreal.