How do I add a custom alert sound in macOS Sierra?
Copy the sound file to ~/Library/Sounds, which is in your Home folder not /System/Library/Sounds in the root of the Macintosh HD. The sound file will then show in System Preferences > Sounds > Sound Effects for you to select as the alert sound.

Note: To expose the Library folder within your Home folder, click Finder > Go > press the option key and select Library.

Update to address comment:

First you need to disable System Integrity Protection.


Reboot the Mac and hold down commandR keys simultaneously after you hear the startup chime, this will boot macOS into Recovery Mode
When the macOS Utilities screen appears, click the Utilities menu, at the top of the screen instead, and choose Terminal.
Type the following command into Terminal then press enter:

csrutil disable

You’ll see a message saying that System Integrity Protection has been disabled and the Mac needs to restart for changes to take effect
Reboot the Mac.


After copying the file(s) to /System/Library/Sounds you'll need to enable System Integrity Protection using csrutil enable following the steps above.

With System Integrity Protection disabled, then to copy the sound file(s) to /System/Library/Sounds you'll needed to use sudo with cp in Terminal.

Example:

cd /System/Library/Sounds
sudo cp /path/to/custom_sound.aiff .


Note that is a . at the end of the command, so as to copy the file into the current directory. You'll be prompted for an Administrator password when using sudo and when you type the password you'll not see any response as the typing of the password is hidden.  Just type the password and press enter for the command to execute.