There are a couple of ways to get the sound into ThumbJam, you can use the Wifi Transfer feature if you have the sounds on your computer. Just go to Prefs->WiFi Transfer, flip the switch, then type in the web address shown there (entered exactly) into your web browser on your computer. You'll see a little page, look for Uploaded Samples on the bottom left, Choose File, hit OK, then hit Upload button. Repeat as desired.
When you've done that you make the instrument with Sound->Create Instrument. In there, give it a name (text field where the big numeric default name is), then select the 'One-Shot' button, which makes it like a the percussion instruments, without pitch. At the bottom, hit the Import New button, and you should see the file(s) you transfered over in the list. Select one or more of them, then hit Import in the upper left. That's it!
Let me know if you have any questions.