Make sure they're named correctly, [stringID]_m.wav, and put them in \Documents\BioWare\Dragon Age\modules\Single Player\override\toolsetexport, or in the module's toolsetexport folder if you're working in a new module.
Then click on the Root node of your soundset, and under Tools, do 'Generate VO Local'.
The .wavs have to be 24000Hz, Signed 16-bit PCM, otherwise it'll throw an error.
If that toolsetexport folder doesn't work, try a different one. The workings of the toolset are sometimes unfathomable.