1. Put them in the folder SRB2 is in.
2.Type in ADDFILE <filename.wad> in the console. Example: ADDFILE MARIO.WAD.
Or, you can get the launcher at srb2.org, click WAD files, click add, search for the WAD, select it, and click run.
Ya know, there is a reason the FAQ is invented. Why doesn't anybody read it?!