The same goes to the custom music, put it in the same folder with the level file, you must use .mp3 files, the World Map section doesn't have a custom music slot and there is no way to add custom noises and sounds for both, as far I'm aware.
In the 1.3 version of SMBX your graphics must be gif. files, their names files work like this:
npc-1 (the character itself) npc-1m (its shadow), blocks, effects and players works the same, although there might a few exceptions for the shadowing.