Shoutbox

Try searching the forums, this is a very common topic and has been discussed many times before, there are tools to do this for you.

It might be worth searching for posts by CookieRevised, he's usually one of the most knowledgeable on that kind of thing.

You can export all of your sounds in your library to a soundpack via the Messenger Plus! sound library and then re-import them.

Custom emoticons can be done via a number of programs, search the forums.

Also, custom emoticons, etc should not get lost after a messenger upgrade (except possibly a very large upgrade, which won't be happening anytime soon as 2009 has only just come out)