Soundpacks don’t come packed with the game, as far as I’m concerned. You’ll need to download one first; the most popular is the ChestHole soundpack, followed by its modifications RRFSounds and C-Soundpack. Place them in the game directory, under /cataclysmdda/data/sound/. Restart your game (if it was running in the background), then choose the soundpack under the Options menu (scroll down in the General tab).
This only works for the SDL (tiles) variant, and only for experimental builds. Soundpacks aren’t compatible with the console version. This might also work differently for Linux (directories and such), I’m a Windows user so I wouldn’t know.