You don’t say what version macOS you’re using. In Mojave (what I’m using) they’re in System/Library/Sounds. If Apple changed it and you can’t add sounds with a current version of the OS then you’re limited to choosing another of the built-in sounds by selecting in the PrefPane.
Years ago I used to use custom sounds (you can find classic sounds and others here), but over time I just resorted to choosing from the built-in ones. For some apps like FaceTime, Mail and Messages you can change the sound specifically for those apps.