Sounds are already individual files.
They are actually MP3 files saved in your Sound Library.
The path to your individual Sound Library is something like:
\Documents and Settings\All Users\Application Data\Messenger Plus!\Custom Sounds\
\Documents and Settings\All Users\Application Data\Messenger Plus! for Skype\CustomSounds\
Note that this is for XP. For other Windows versions the path can be slightly different. Also note that in some circumstances, depending on your set up, the sounds could be saved in a subdirectory in the installation folder, but this is rare.
The individual files are stored there.
The file names are all in the form of "#XXXXXXXXXXXX.dat" where XXX is the hexadecimal ID of the sound.
But in reality those are just MP3 files. So you could copy them to another directory and rename them as *.MP3.
Note: just placing your own MP3 in there, or copy them from the Plus! submap to the Plus! Skype submap will not work!
For that to work you need to re-register all the copied sounds into the Sound Library (my old Sound Library fixer
from 8 years ago did this for Messenger Plus!, but it is not compatible with the new versions of Plus! made by Yuna and with Plus! Skype).
Also note that a 'Sound Pack' can be created from within Messenger Plus! (see it preferences window) from all your custom sounds. Unless support is going to be dropped in Plus! Skype, this should be able to be imported back into Plus! Skype once Yuna adds custom sounds to it.
Sound Packs are just a collection of individual custom sounds. It is relativly easy to extract the individual files from it (the file format is very simple). Segosa made a small quick tool 8 years ago to do just that: see MsgPlus Sound Pack Extractor