OS X System Sounds

Here goes:
1. Go -> Computer -> System -> Library -> Sounds
Any added files must be in .aiff format. When adding sound files to the Sounds folder, the process will be blocked by the warning "xxxxx file cannot be moved because ........"
2. Click Authenticate
3. Type in your Password at the next prompt
4. The new sound file will be added to the Sounds folder.
New sounds can then be used via System Prefs -> Sound -> Sound Effects
You can load multiple sound files in .aiff format into Sounds with just the one Authentication.

Regarding any sounds downloaded, Sound Converter will modify them to .aiff format. http://www.pure-mac.com/audio.html#soundconverter