If you want another sound during login you can do it this way from a terminal sesson:

cd /usr/share/sounds/ubuntu/stereo

replace the file

desktop-login.ogg

with the soundfile you want. You can do it like this (including backup):

sudo cp desktop-login.ogg desktop-login.ogg.old

sudo cp ~/Downloads/dekstop-login.ogg .

if your new file is inside your home's Download directory.
I have not seen a default application where you can do this.

And yes, you can create a custom sound from for instance a music clip with audacity. Just make sure you save it as ogg and do not make it too long.

You can also do it like this. From commandline

gksu nautilus

This will open Nautilus as root. Now navigate to your new file, rightclick and copy it. Navigate to /usr/share/sounds/ubuntu/stereo and click on desktop-login.ogg, press F2, and add .old to the name. Then click on some free space, rightclick and choose paste