You could embed them as a project resource on the dll/exe and then use them through the Application object:
Adding and Editing Resources (Visual C#)
http://msdn.microsoft.com/en-us/library/7k989cfy%28v=vs.90%29.aspx
You could also use the Resource Manager (better option if you want to have your sound files delivered separately):
Resource Manager
http://msdn.microsoft.com/en-us/library/system.resources.resourcemanager%28v=vs.110%29.aspx