I've never encountered problems w/ sound before, especially with abandonia downloads. Here're some things you should check:
1) At least for Lemmings 2 and 3D Lemmings (I don't have ANWOL so I wouldn't know, but I suspect it has something similar), there's a settings program you should run, to make sure the sound/music settings are set to what you want. For Lemmings 2, that program is install.exe. For 3D Lemmings the program is setup.exe. DOSBox should support emulation of most sound hardware the games support, so just make sure the game settings aren't set to something like "no sound" or "no music" etc.
2) If the above didn't help, make sure to use latest versions of DOSBox, either 0.70 or 0.65.
3) If that still didn't help, make sure you don't set the DOSBox "CPU Cycles" setting too high. The default of 3000 should suffice for most games (well, maybe 3D Lemmings could use a higher setting). For certain sound hardware (eg. Adlib which is used for example in Lemmings and may be selected by you to use in some of the other games), DOSBox emulation has some bugs where you might not get sound if the CPU Cycles is set too high.
Hope this helps.