There are two ways:
First method, is to set it through triggers. Basically, set (unit soundset) in Object Editor to None. And when the unit is issued order to move or attack or whatever, you play random sounds. Even if you have 2 or 3. It's really an efficient way if you don't want to play many sounds, because actually Warcraft's soundsets have many responses.
Second Method, is to import your soundfiles to Import Editor, and change every sound file path to the one you want. For example, we want to change Arthas' soundset. We go to Sound Editor, search for his responses ( Normally they are in Internal Sounds = Units = Humans = Arthas )... We right-click (ArthasPissed1.wav) and choose 'Replace internal sound' ... you should now choose your wav file and then click OK. The path of the imported file is changed in Import Editor ( You'll notice )... and it will be changed in Sound Editor, it will become under Imported folder. You have nothing to do now. It's done, just apply the same with ArthasPissed2.wav, and ArthasWhat1.wav ... and everything...
NOTE : your voice file should be a 16 bit mono 44000Hz .WAV sound.