Sorry for taking so long to respond, hopefully you found the answers by now, but if not:
To replace buttons with images, you are going to have to make new sprite objects and just copy all of the actions that the buttons were doing to it (there might be an easier way, but I don't know of it).
To make a button play a sound when clicked, you have to add the audio and mouse (or touch) objects to your project. Then add the event "on click object" (set the object to the button), and then add the action "play audio". You will have to import a sound first though before it will appear in the actions drop-down options.
And I'm not sure about the pick problem (I'm terrible as using the pick actions as well), maybe post another thread about it? Or there might be something about it elsewhere on the site.