Here's how it's done: you create an xdb file for the sound, and in it, you need to specify a link to the sound. Then, you right-click on the created object and select Export. The problem is that I'm not sure if this will work if you don't follow steps 3 and 4 of this guide: http://psatkha.narod.ru/tutorial_ru.html
I just haven't tried it; I still have these files from when I was trying to import models into the game.
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