It should be as simple as dragging the sound right from the finder into the corresponding Drum Machine Designer pad.
Or to be more specific, the easiest way to do this:
- Create a new Software Instrument Track
- Make sure Drum Machine Designer is selected
- Drag the sounds you want into the individual pads (you'll see which keys correspond to which pad)
- Then in the Step Sequencer, the appropriate sound should be available in the corresponding key.
Hope that makes sense.
This might shed a bit more light on the process: https://support.apple.com/en-us/HT210993