The best way to model an FSM state, would be to write custom Action Tasks and then use/assign them in an Action State, pretty similar to what you would have done for Mecanim, only in this case our StateMachineBehaviour scripts, are the ActionTask scripts.
Action Tasks get callbacks when the state they are assigned in Enter/Update and Exit. Here is the callbacks called in an Action Task for each case:
Gavalakis
