You need to replace the files of an existing soundset with the imported ones. Open the sound editor and navigate to the soundset you want to replace, for example Units --> Human --> Peasant, and right click on an individual line, for example 'PeasantWhat1'. Click 'replace internal sound' from the drop down menu, and an explorer window will open, from which you can select the downloaded sound file, for example GoblinWorkerWhat1. Continue doing this until you have replaced the whole soundset. If it doesn't work in game, check the properties of the sound files. They should be mono channel, 22050Hz and 16 bit. You can change a sound file to that in Audacity.