Sounds can easily be changed. There's a lot of things to note though:
Firstly, are you recording the sound as a wav originally? If you record as an MP3 and rename it to wav that just won't work. Glest currently supports OGG and WAV only, MP3 is a proprietary format, and due to that, it will likely never be supported. If you're using a program like Audacity, be sure to use "export as wav".
Secondly, is the quality of the sound file a realistic amount? If it's extremely high, there have been issues where the file will not work. Something like 16 bit WAV or Quality 5 OGG is best. This can be set in audacity's preferences menu.
Next, is there any caching on your system (eg, a non-admin account or even some admin accounts if UAC is on in windows vista/7)? UAC can generally cause changes to files in the program files to actually be copied to appdata. The whole thing is a giant confusing headache, and all the more reason to use either GAE or MG, which better handle multiple users, or if you're the only user, you could turn off UAC.
If none of these, please post the error message that Glest gives. Also, since you simply say "glest", I assume you are using regular Glest, which is no longer in development and generally most players use GAE or MegaGlest now, and many mods use specific features that require one of those engines.
As a note, before you get the wrong idea, Glest fully allows you to use any file you create, be it sound, image, model, XML, whatever. You'd see that the
Apocalyptic Dawn mod has fully unique sounds, for example, not using any of the original
Magitech sounds.