You cannot add a soundset per se, but usually what we do is replace a soundset with your custom one. You just want to make sure that you replace a soundset that will not be used by another unit in your map (e.g. don't give Lich king voice to a catapult), and also that the soundset have as many lines than your custom one.
Then all you have to do is import it in your map, and change the path so it will replace the ingame sound.
For instance, if you name your file "Units\Human\Footman\FootmanWhat1.wav" it will replace the footman sound when you click on it. Just do the same for all lines (all of which can be found in the sound editor) and you're good to go.