I'm making an FPS. I want to have rag doll physics for the enemies, so I want to know if I can make the animations (with bones only), then somehow attach the individual body parts to that bone-animation.
Ah okay, that clarification helps a lot. As Gabriel says however you are thinking of it kind of backward. Rather than attaching the body parts in code, everything should be setup in your animation tool for skeletal animation and then when you move bones in code the body parts will move with them. Name the bones before export and use those names to FindChild (or is it GetChild? I get those commands mixed up) the bones in code.
It is important to remember though that any animation in the skeleton will override moving bones in code. In general when moving bones in code, you want to make sure calls to PositionEntity or whatever are happening after UpdateWorld; for physics simulation specifically however you will want to turn off animations entirely using the Animate command with the off parameter.