Footsteps work off of a set of different material sounds, ie footsteps on wood, meta, grass etc. These are specified in the FPE files of an entity, so for example if you have a wooden floor model, in the FPE you set the footsteps to wood and when you walk on that entity in the game it plays the wood footstep sound, and so on.
I'm not sure you can change them to custom sounds unless you replace and rename the original sound files.
At the moment it's hard coded, but what I would like to see in the future is a system similar to skiyboxes, grasses and terrains where you can switch between different sets in the test game properties.