Can anyone explain how to add drums to a kit?

The assignments are IN the sfz files. They are key assignments, but Session Drummer has certain keys assigned to each pad. So, unfortunately, you have to futz around (technical term) with a text editor and various sfz files. One gotcha to watcha: even if you load a sfz to a certain pad, the assignments may go to another pad because the key assignments inside the sfz are the ultimate arbiters of sample assignments. 

There are various ways to approach this. In my case, for example, I've gone through a lot of the sfz files that make up the kits and found out what samples are pointed to which keys. Some of the files I use, but generally I've used the preset ones as starters for editing my own sfz files with the samples pointed to the keys/pads that I would use them on. And made copious (well, okay, a couple of) notes about which files point to which keys/pads.

I should also point out that even though the sfz method is a bit of a hassle to wrap your head around first time, the flip side (good side) is that there is a lot of power/options available using sfzs. Like reversing a cymbal sample, for example (hey that rhymes!), or starting a sample at a non-zero sample to muss with the sample's attack, etc. So while the editing interface (which is non-existent) sorta is lacking, but hey, you get up close and personal with sfz programming, which you always wanted to do anyway, right?

After you browse through some sfz files, feel free to ask more questions if it doesn't become clearer.

I tried to load new drums into SD3, and it usually works, except that if you load a new open hi-hat it replaces the closed hi-hat sound with the open hi-hat sound as well. So basically if you want a new open hi-hat you can no longer have a closed hi-hat.