You can install sound themes in the Software tool by searching for "sound-theme" and choosing to install one or more themes. The "sound-theme-freedesktop" theme is installed by default.
The sound theme can be changed manually using dconf-editor. You may need to first install the tool from the Software tool since dconf-editor is not installed by default. Search for "dconf-editor" and install it. Once installed you can run it by launching the Overview and typing "dc".
Once in dconf-editor navigate to the following location:
org -> gnome -> desktop -> sound
There you can set the active sound theme by changing the "theme-name" value. You can always revert to the default via the "Set to Default" button if you forget the default name. If you want to apply a different theme simply provide its name here e.g. "beethoven-fifth" or "acoustic". The change is immediately applied so there is no need to logout. To test it open a terminal and hit Tab a couple of times to hear the default sound, or open the Sound Settings and find the "Sound Effects" tab. Click "Default" there to hear the theme's default sound.