Custom SFX

So if we can add music to the game can we replace the old sfx with new ones?

Yes... probably
I'm not sure, but many (if not all) of crusade sfx are in wav, and the music is in ogg, i suppose you can just get the sound you have, convert it to the file extension (not sure it it is needed, but better do it), rename it to the same name of the sound you want to change and replace it

I have no idea where the sfx files are stored in the game files though

It's possible to alter the files with the help of a certain sound editing device.