Ah, the Art of Rigging. Wow. I haven’t had to go this deep into rigging anything since college. It was quite refreshing actually, getting back into it. You however, are on your own here; as I’m sure you can find a nice tutorial or something on painting weights somewhere. I’m not about to walk you through the actual rigging process of a character – mostly because it’s generally the same process whether you’re rigging a foot or a finger, but also partially because it’s not really in the scope of this tutorial.
Make a smooth bind. Deform the joint to an extreme. Paint weights ‘til it looks right. Do it again for the next joint. When you’re done, the thing should deform properly. That’s the theory anyway. Some people are better at it than others.
Technical things worth noting: you’ll want to use a Smooth Bind (in Maya anyway) and clamp the Maximum Influences to 4 (or less.) Any more than that and the engine will complain at you. Also, you’ll probably want to save a rigged copy to a different file than the non-rigged copy. It’s simply a good practice.
Next Time: Exporting to the CDK