Can someone tell me how to put my own sounds into SI Drummer?
They are .WAV

you cant, studio drums uses only the supplied samples.
session drummer is one that does this and more.

this is the best you can do with studio drums:
http://www.youtube.com/watch?v=k83UVo1OiKA

But some guy mentioned converting to .SFZ?

Charlie is correct, You cannot add to SI Drum kit. Session Drummer 2 and 3 will allow you to drop wav files on the pads or create a collection of wav files by defining an sfz file. A collection of sfz files can be used by Session Drummer 2 and 3 to define new kits. None of the these options are available in SI Drum Kit though. You might be able replace the wavs and/or the sfz files that already exist in SI Drum kit with some of your own but I have not experimented with that idea.

Evnabby


But some guy mentioned converting to .SFZ?

im sorry, as funny as this statement sounds I will try to be as professional as possible.
Mr. Cook pretty much said it better than I could.
 
the process you speak of is tedious and painstaking, though it can be done, it takes the knowledge of editing SFZ files in a notepad editor.
along with a few other things that I have no idea about.
you might wanna contact the "guy" who mentioned this.
 
I wish you well on this, if you do this, please share your experiences with us, id love to hear how you made out. 

Yes there was just a thread about this. You find the folder and simply drag and drop your sound in there. 
C:\Program Files\Cakewalk\Vstplugins\Session Drummer 3\Contents\Kits\2 - Snares


I use Session drummer so can't speak for SI. But Session drummer uses flac and sfz. But WAVE will also play fine.  You'll want to edit the files to remove all silence at the start.  


Once you put your files in there you just open Session drummer and create a new kit using your sounds. I sampled my own drum kit this way and what this means is I can do replacement with MIDI editing. Very cool stuff. 
Someday I want to sample a pile of junk and use it for a drum kit.