I just changed the horns and whistles of my two 2-8-8-2s and my UP SD40-2 in the config. The locomotives retain their standard hornsound, not the one that I changed to.
You change the hornsound kuid number in the config.txt file with the new hornsound kuid number that you've picked. Change it for the hornsound tag line and in the kuid-table at the bottom of the config.txt file.
If you have a test route that you're using to test the loco with, you'll have use Surveyor to delete the loco from the test route, then put it back in, else your changes won't appear in the loco.