I haven't gotten around to using the FX versions of these (will try to give them a test), but the sound ones work very well:
For example, with the following, I have different sound events setup for each of my character's animations (actually 2 separate sounds) - one is a simple 'breath' sound, which changes depending on whether you are walking or running etc:
# character sounds
AddAnimAmbientSoundEvent Idle ../../../audio/movement/breathe.smp
AddAnimAmbientSoundEvent Walk ../../../audio/movement/breathe.smp
AddAnimAmbientSoundEvent Run ../../../audio/movement/breathe.smp
and the second set of sounds are specifically for footsteps.
Note that the 3rd parameter (the number) is the time in the animation that the sound should be played.
So if you have a 1 second animation that consists of 2 steps, you would setup two sounds like so:
AddAnimSoundEvent Run 0 ../../../audio/movement/footsteps.smp
AddAnimSoundEvent Run 0.5 ../../../audio/movement/footsteps.smp
Not 100% sure how the FX are spawned - I think they would be spawned at the object's root (ie their local 0,0,0) position, but will have to experiment with that.