Here is what I did to add some user sounds to OS X (10.1.5). To use your old system sounds in OS X, get them from your OS 9 system folder, or you can get an excellent collection of sounds at Steve's Freeware.
These sounds were intended for OS 9, but using them in OS X is easy. Once you have some sound files, open them in iTunes, and convert them to MP3 format. They will be In your iTunes Music folder, in a folder named "Unknown Album," in a folder named "Unknown Artist."
You then need to convert the MP3 files created by iTunes from your sound files to AIFF format, which is easily accomplished using MP3-to-Aiff, a freeware converter with batch capabilities from DeepNiner Software.
After converting your MP3 files to AIFF format, you need to add an extra "f" to the names of your files, as iTunes creates AIFF files ending in ".aif, " and
to use these files in OS X the file names should end with ".aiff"; this is very easily done with another bit of freeware: File Renamer 1.5.
Now you just need to put the sounds in the Sounds folder in your user's Library folder to make them availabe. That's it.
[Editor's note: There was an older hint which I posted that touched on this subject, but it contained some incorrect advice and was fairly non-complete. You can probably save one step in the above process by using iTunes' AIFF importer (on the Import button in the Preference panel) to save the sounds directly to AIFF format ... although I haven't tested that theory myself!]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20021127060058937