Pretty simple thing, this is how I did it: In what will work as your base directory, make a directory called sound/chars/<yourskinnamedir>/misc.

In misc put a file called taunt.mp3... this is your taunt file. For the <yourskinnamedir> it should be the same name as the directory of your skin.

for example your structure would be like this:

base/models/players/name
and
base/sound/chars/name/misc
and zip the sound and models for the directory structure.

I don't see where the taunt.mp3 is... is that a file you download?

This is for a custom taunt, in which case you make it yourself.