I wasn't sure if I should post this here or in the art section, but in the end it seemed more of a career question. If it needs to be moved, please do that.

I'm a writer first.  That's what I've been doing for years (comics and screenplays) and that's the main path I want to take in the gaming industry.  But I'm realistic, and I know that I'm one in millions competing for very few spots, so I want to add some more skills to make myself more appealing.  I had to learn some programming for school, and I know that's not the path I want to take.  It just doesn't click with me. I've been learning 3ds Max for a while, and I think I'm decent at modeling some basic stuff (non-character) but I also recognize that I have a long way to go before I'm actually good. I'm not very good with materials and textures yet, and horrible with animation, and I get a little overwhelmed looking at just how much I have left to learn if I want to do it all.  I think I should focus on one area to improve for now, and eventually work on the rest.

I've worked a little bit with particles in a few learning projects in Max and Unreal and really enjoyed it.  So the question is, if I want to really focus on the VFX side of things, what's the best way to do it?  Should I focus on doing it through one of the modeling programs like Max, Maya, or Houdini,  or should I focus on the stuff built into the game engine (Unreal is what I use now because it's what we use for school, I plan to eventually get a feel for Unity and maybe Lumberyard)?  Or should I focus on a 3rd party plugin like PopcornFx that can be used in multiple programs?

Where are you located? If you're one of millions looking for spots then it doesn't sound like the right approach.

In the US and much of Europe, if you want to be a writer you need a bachelor's degree in the subject, plus you need to practice writing and you need to be able to show your writing skills with dynamically branching stories. You need to also show you can write in the style and mode they want, write in the genre they want. 

Creating particle systems does not show them that you can write for games.

For art roles since you mention materials and textures, the same is also true with typically a degree in fine arts and a widely-varied portfolio. 

Whatever route you go, remember that you are not competing in a vacuum. Your skills and talents must be better than the other applicants.  Writing jobs are rare and there is a lot of competition. In the US, most game applicants have both a degree AND have a portfolio of projects to review. In the creative roles the portfolio is mandatory, and generally your competitors will have at least a bachelors degree.