I took the source of AndEngine from their git repo, downloaded a fresh AndroidStudio, sdk and ndk,imported it, and tried to creat a simple new empty GameActivity extends BaseGam
It seems to be easier using the official intellij version instead of android studio. And as both are very similar in use, it't doesn't really matter. Together with some ndk-build hints from the answer of lakshman5876, it finally worked very well. Thanks
http://www.jetbrains.com/idea/