I don't have any fx sounds right now, but I do have several separate sounds playing simultaneously with no interruptions like what you're describing. Not sure what could be causing that...
I think there were sound classes at one point, but I've never messed around with them, nor do I know if they still exist.
If I were going to set some up by hand, I would use SaveGameVariables. Something like...
//pseudo code
//in your menu.lay or menu.gsl
SetSaveGameVaribleInt("MusicVolume", MusicSlider'sInfo);
SetSaveGameVaribleInt("EffectVolume", EffectSlider'sInfo);
//Then in your gsl...
Sample@ music;
music.Load("music.smp");
music.SetVolume(GetSaveGameVariableInt("MusicVolume");
Sample@ effect;
effect.Load("effect.smp");
effect.SetVolume(GetSaveGameVariableInt("EffectVolume");