You have choices.
IIRC, Rapture Session uses the same sample and program folders ad Rapture Pro so it should overlay those files. I have RPro installed and intentionally did not install Rapture Session content when it came out. You can verify my guess by looking in your "Cakewalk Content" folder. Assuming you used the default install paths for Rapture Session there should be
"C:\Cakewalk Content\Cakewalk Sample Data\Rapture Pro"
and
"C:\Cakewalk Content\Rapture Pro"
already set up. If they are already there as I assume they are Rapture Session shares all the RPro folders. If I am wrong let me know.
When installing Rapture Session and Rapture Pro, the Cakewalk Sound Center, DPro and Rapture programs are copied into the Rapture Pro program area under "C:\Cakewalk Content\Rapture Pro"
If you perform a full RPro installation, the DPro and Rapture samples are duplicated (although the Rapture samples in RPro are flac format where the original samples are waves). The legacy programs are also duplicated but reorganized to follow the RPro layout. There are a few threads in the recent pages here about RPro sample and program layout. I would rather you read some of those so I do not have to rewrite everything.
Here is the thing about sfz files and samples, they are not part of the program browser, the are content loaded into the synths elements. Up to 6 sfz files and samples are the sound sources for a Rapture/Rapture Pro program. IOW, you are looking in the wrong place to load you custom content.