For the other newbies out there, here is one solution we found: at Radio Shack ask for part number 273-073A. This is a piezo transducer. It's OK in the VEX voltage range. It's a two-wire square-wave device. Connect the black wire to the black connection in motor port #1; connect the red wire to the PWM (pulse wave modulation, for the signal) connection in motor port #1. It's not very loud, but it does the job. It costs about $2 allows you to run the Sound With External Piezo Speaker sample programs (e.g., play the theme from "Mission Impossible") and then move on to write your own sound programs.
For help with making the actual connection, Carnegie-Mellon has some step-by-step help on putting together wires in their curriculum materials under "resources":
http://www.education.rec.ri.cmu.edu/rob ... /index.htm