You need to clearly identify the main task: feeding the neural net with vectors or matrix. So the first step is to work on the audio file (without matlab!) in order to have wav files. The second step is the neural net setting/training with matlab.
I would try to decompress 'sph' files, then convert them into 'wav' (for example see the instructions here and here).
Finally, using sox in a command/terminal window is better than using it in the matlab console.