One shot wave files will work. sfz files are just pointers to a collection of wave files which are usually samples at different velocities.
They will give much more realistic sounds. For example a crash cymbal that is hit hard has a different character and sound to one that is hit softly. Therefore playing a hard hit crash softly doesn't sound very realistic.
The good news is if you have a collection of wave files at different velocities you can write your own sfz file. The best thing to do if you want to go that route is to have a look
at this and then open a sfz file in a text editor. That'll give you a good idea on how to write them.
FLAC files are a lossless compression format (Free Lossless Audio Codec)
HTH