Not quite that easy. It is that easy to copy them onto the card. Just click and drag the .wav files onto the card. No special labeling or folders. I don't have my SPD-S infront of me, (its at our practice space), but I'll try to remember how off the top of my head. Make sure the SPD-S is off, insert the card, turn on the SPD-S. Then hold shift and click Card Utility or something like that. I believe its the small text under the Setup button. Then select file import using the arrow keys. You can then scroll through the list of files on the card. When you find the one you wanna import, just click enter and it will ask you where you want to save it, and you can select either on the card for access by clicking the card button, or on the spd-s by deselecting the card button. I always have it access it from the card. More space on there. Then you can name it whatever wish and click enter. It will import, it may take a few minutes depending on the file length. Then you should be good. You can then assign it to any patch like you would any other file. You need to make sure you have the card button highlighted when you are looking for the file, because it will not be on the same list as the rest of the SPD-S files that are in the internal memory of the SPD-S.
If you can understand that, glad I could help. Remember, this is from memory, so I think I got the majority of it correct.
This process gets to be second nature once you start to understand the interface more and after you've done it a couple times. It took me a while.