Actually, what I've been doing is running imported levels through the editor itself, ie. with Tools-->Play this level. This is mainly so I can take advantage of the fast-forward and replay features. But there's still no sound. Is that what I'm doing wrong?
By the way, back in the day I played Lemmings on RISC OS, which was (as far as I know) pretty close to the Amiga version in terms of sound, music and presentation.
In my DOS version of Lemmings 2, the lemmings themselves have digitised voices saying "Let's Go!" etc, but in my DOS copy of Lemmings 1 there's a strange substitute sound instead. I can only assume it's something to do with the default sound configuration.
Anyway... I digress... Enough rambling from me.