It was pretty simple to build. Basically I made a range that was 2048 x 512 generic units big. That translates to 128ft X 32 ft. I set up a few man sized target (6 ft tall 2 ft wide) at 6ft, 8ft, 16ft, 32ft, 64ft and 128ft. I made sure they had collision and I imported it into UDK.
The targets need t have collision because if the targets did not the bullets would just fly through. I need to be able to see where the bullets make impact so I can properly tweak the weapons.
Update: June 24th, 2012
@Dannylv100