• Open the effects editor and go to the Physics tab
• Make sure that both checkboxes Enable Physics & Enable simulation are checked

• Go to the Visuals tab
• Make sure that your elem is of type Model with atleast one valid xmodel

• Go back to the Physics tab and open the PhysX Settings
  (alternatively, click the effects-cog within the camera toolbar)
  
  
• Click Generate Static Collision which will cook static meshes using all radiant brushes and patches
  (excludes selected brushes / patches - this might take a few seconds)
  
  
• Select your fx_origin, hit play and enjoy

Turn spawned effect models into misc_models ( Pause your effect and hit Convert FX PhysX actors to misc_models )

Debug visualisation and custom collision shapes

• Enable debug visuals within the PhysX settings menu
• Draw shapes renders the actual collision mesh
• Draw aabbs renders the bounding box
• Draw contacts renders collision contact points (use without shapes or aabbs)
• The Vis. Box Size parameter defines the maximum distance at which to draw debug data

• Collision meshes used by effect models are defined by their total bounds (a cube) which might not produce the desired result
• The PhysX settings menu has an option to change the collision mesh size or overall shape from a cube to a sphere or a custom shape
• Custom Shape: select a brush you want to use as your collision mesh and hit use selected brush as shape