Esco's methods work.
I have tested some stuff in the past with PSound. As I recall, things like the AxeArmor dying are the same as if Alucard was getting hit but slowed down to another frequency.
The "Rat Screams" you're referring to, Rugal, are actual sounds! You just have to open them in a waveform editor and either pitch shift 'em or frequency-transpose them to what you want. The 35 files you're getting are common things like Alucard landing on the ground with a **THUD**, or the sound of the secret Outer Wall Elevator, etc.
For now, I suggest you use the pause method, with XA-Audio disabled on your emulator. It's a quick and dirty way to just record what you need. PSound doesn't work on all systems, and depending on what you feed it it seems to sometimes change things (for example, if you feed it a sotn.bin, it won't recognize a directory structure, but if you use an actual disc or some other format, it will... it's quirky).