Importing and exporting whole sound schemes becomes handy if you want to apply your schemes to different computers or setup your system anew and don't want to copy the whole Windows theme. Doing so proves trickier as one might think though, since sound schemes are not saved as some kind of file or package as one might think.
First off, to create a custom sound scheme, head to the Control Panel and open the Hardware and Sound Options. In the Sound menu, click on Change system sounds. Leave the applied scheme as it is and instead change its components by selecting one of the listed items and browsing for a new sound file, which has to be in the .wav format. For simplicity's sake, put all your custom sound files into the C:\Windows\Media folder prior to setting them since they have to be in the exact same folder on the system you import them.
After you have applied new sounds for all the items you want to change, click the Save as... button and give your scheme a name.
Afterward, to export the scheme open the Windows registry - do so by opening a Run... prompt (Windows + R) and entering regedit. In the left registry panel, browse for the HKEY_CURRENT_USER\AppEvents key. Right-click it and select Export to save its contents somewhere on your hard drive. Put the exported registry file and all the custom sound files you used on a USB key or another device to transfer the files.
After you have got the registry file as well as the sound files you used on the other system, put the sound files in the exact same folder as they were on the first system (if you followed this guide, it is C:\Windows\Media). Then double-click the registry file to add the first system's sound scheme settings to the new one (schemes are only added, non will be removed if there were custom schemes installed before). The sound scheme should now be available in the Control Panel. There is another guide about Windows file transfer.