I discovered a long time ago that the best way to do it is to record the sound with Audacity instead of the Windows default sound recorder, and save it as ogg. Audacity is free and has a lot of useful features for modifying and improving your sounds, and you can get it here: http://audacity.sourceforge.net/download/
Thanks John, I did that and it works great initially (i.e. the game no longer crashes during initialisation), though I get an "Error: Unhandled Exception" dialog that says "Error(s): Failed to create direct sound buffer" sometimes when I select one of the units with custom ogg sound files. I'll do some more testing and try to see whether it could always be the same sound file that it fails on, maybe one of them is corrupted or something. Cheers for the hint about Audacity (which I use under Ubuntu anyway, hadn't realised that there's a Windows version as well, I just figured since the default sounds were wav files I'd work with sound recorder) and ogg files.