Q: How do we extract the sound files for our own use?
A: .sga to .rat - The first thing you need to do is extract the sound files from the archive. For sfx, you're looking to extract root/W40k/W40kData-Sound-Full.sga, and for speech (probably what you're looking for), you want to extract root/W40k/Locale/<YourLanguage>/W40kData-Sound-Speech.sga. Extract them to root/ModTools/DataGeneric/My_Mod (*).
.rat to .wav - Now you have a bunch of .rat files, but what good do they do you? Unfortunetly, there's no current way to batch convert them to .wav. There is a ghetto way to grab sounds, though.
1. Open the audio editor.
2. Select File->Open Mod Project, and open My_Mod
3. Open Windows' Sound Recorder (Start -> Run -> sndrec32)
4. Find the sound you want to record in the audio editor.
5. Hit the record button in sound recorder.
6. Hit Play in the audio editor.
7. Hit stop in the sound recorder, and save your wav file.
(*) You could have extracted the sound archive anywhere, but into DataGeneric/My_Mod makes it easy to open in the audio editor later, and also won't interfere with any other mod projects you've got going.