The Apple article says you need to convert the files to AIFF and put them under
/Users/(your user ID)/Library/Sounds
Under Lion, Apple has ignorantly decided to hide the Library directory, so first of all you need to make it visible again by launching Terminal and then entering
chflags nohidden /Users/[username]/Library
Then you can drag AIFF files into Library/Sounds and they're supposed to show up in System Preferences.
You could probably also go to the system-wide Library directory, add a Sounds directory under it, and put AIFFs in there. These would be visible to all user accounts on the system, not just yours.
I think after 4 years the OP either has the problem solved or has given up and moved on.
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