Create a CAF Sound Effect

Record your sound to a wav file using Audacity or the pre-installed version of Quicktime Player (File->New Audio Recording).

Start up Max and configure out sound formats  (Max->Preferences->Formats). Click the plus sign to add CAF. For my encoder settings I use Linear PCM, 16-bit big-endian signed integer. This keeps file sizes relatively low and sound quality is still probably better than you actually need. Don't forget to click the checkbox next to the CAF encoder setting you just created. 

Convert your sound effect from a wav to a caf using Max (File->Convert Files). It will use the configured output sound format you just created.

The converted files are located in the "Music" folder of your User directory (~/Music).

Do what you wish with them!