Okay, this should do it. It doesn't stop the sound when the mouse is moved away from the buttons, but it stops the previous sound when you move the mouse over another button.
Code:
/////////////////////////////////////////
sound pl1_snd = <SOUND>;
sound pl2_snd = <SOUND>;
sound pl3_snd = <SOUND>;
sound pl4_snd = <SOUND>;
sound cancel_snd = <SOUND>;

var_nsave pl_snd_handle;


function pl_sound(but,pan)
{
if(pl_snd_handle != 0)
{
snd_stop(pl_snd_handle);
}

if(but == 1) {pl_snd_handle = snd_play(pl1_snd,100,10);}
if(but == 2) {pl_snd_handle = snd_play(pl2_snd,100,10);}
if(but == 3) {pl_snd_handle = snd_play(pl3_snd,100,10);}
if(but == 4) {pl_snd_handle = snd_play(pl4_snd,100,10);}
if(but == 5) {pl_snd_handle = snd_play(cancel_snd,100,10);}
}
/////////////////////////////////////////
panel plSelectionPan
{
flags = refresh;
button = 20,20,pl1_hover,pl1_normal,pl1_hover,plSelect,null,pl_sound;
button = 20,50,pl2_hover,pl2_normal,pl2_hover,plSelect,null,pl_sound;
button = 20,80,pl3_hover,pl3_normal,pl3_hover,plSelect,null,pl_sound;
button = 20,110,pl4_hover,pl4_normal,pl4_hover,plSelect,null,pl_sound;
button = 20,140,pl4_hover,pl4_normal,pl4_hover,plSelect,null,pl_sound;
button = 20,170,cancel_but,cancel_but,cancel_but,plSelect_cancel,null,pl_sound;
}
/////////////////////////////////////////



Code:
/////////////////////////////////////////
sound pl1_sel_snd = <SOUND>;
sound pl2_sel_snd = <SOUND>;
sound pl3_sel_snd = <SOUND>;
sound pl4_sel_snd = <SOUND>;
sound cancel_sel_snd = <SOUND>;


function plSelect(but,pan)
{
if(!player) {return;}

if(!ptrs_set) {setStrings();}

if(but <= 0 || but > numStrings) {return;}

ptr_string = ptr_for_handle(string_ptrs[but - 1]);

ent_morph(player,ptr_string);

if(pl_snd_handle != 0)
{
snd_stop(pl_snd_handle);
}
if(but == 1) {pl_snd_handle = snd_play(pl1_sel_snd,100,10);}
if(but == 2) {pl_snd_handle = snd_play(pl2_sel_snd,100,10);}
if(but == 3) {pl_snd_handle = snd_play(pl3_sel_snd,100,10);}
if(but == 4) {pl_snd_handle = snd_play(pl4_sel_snd,100,10);}
if(but == 5) {pl_snd_handle = snd_play(cancel_sel_snd,100,10);}


plSelectionPan.visible = off;

mouse_mode = 0;
}
/////////////////////////////////////////