I couldn't find a guide or anything about how to do it either, so I just started trying different things. And it's so easy, that I'm almost embarrassed that it took me about an hour to figure out on my own.
To start out, you'll need two zip files. One is the ROM, and the other will contain the audio files. These need to have the exact same filename (ie. dkong.zip)
Now browse to the folder where your ROMs are located. Your ROM zip file should obviously go there. There should also be a folder named "Samples". That is where your zip file with the audio files should go.
That's it. You should be able to load up the ROM and have the additional sounds.