I have been using Lightwave to do a lot of brushes lately and exporting them via .dxf
Here are a few tips besides Wanderer's scaling one:
1)Remember to keep the number of polygons in the brush below 500 or you WILL lose data when importing into UnrealED. Use stats or info commands to count the polys in your object to keep to this before you save to .dxf.
2)Try to use only closed meshes. This means that the 'interior' of the brush should be totally enclosed by polygons, all of which should face either 'inwards' or 'outwards'(avoid combos in a brush). A non-enclosed mesh would be a terrain sheet/grid for example. It has two sides but encloses no volume. A closed mesh encloses a volume with no leaks.
3)Be sure that you reset the red master brush in Unreal for location,rotation and scale before you import the .dxf brush. This is VERY IMPORTANT. Otherwise you might end up with problems using those tools later on the imported brush.
Basically, you should reset, import, then adjust the brush using those tools to get a good working size. If you have already figured out a good scale to build at in AUTOCAD, you won't need to adjust size. After getting the brush set up, save it, then clear everything again and reload the saved brush. Now you should have a brush, properly sized, rotated, etc. that you can use without any problems.