wavs have the best sound. They're 30000 kb though, so I hope you plan on making it a one-player campaign or map.
Mp3s have a lot less quality for their 1000 kb size (only for songs though, I'm sure mp3 voice acting would be much smaller). You could stick several of these onto a multiplayer map and it'd be pretty nice.
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It's called a sound set. Look it up in the object editor for a unit and select from the dropdown. Now I'm pretty sure you can replace those in the dropdown from the import manager, so that if you selected a Blademaster soundset, found its paths and then overwrite them with your own voiceovers, your unit would sound like the voiceovers.