I would recommend reading about AI already supported by the Unreal engine: http://udn.epicgames.com/Three/AIOverview.html and the Waypoints technical guide: http://udn.epicgames.com/Three/WaypointsTechnicalGuide.html
I think the FindPathTowards:
This function will execute a traversal of the path network generating a
route from the AI's position to the passed goal, placing the generated
route (An ordered list of waypoints from the anchor to the goal) in the RouteCache of the controller. This will tell the AI what waypoints to move to in order to reach its goal.
would already potentially implement A*.
If this is not what you wanted you could still maybe use the waypoints/Navigation mesh system for your code.
While A* "should" be able to be used in a 3D game (as long as you can place the nodes correctly), it might be good to implement some Steering behaviors as well. This seems like it could be tricky in three dimensions..
Here is an example: