Would like to put my entire Frank Sinatra Collection into the game to hear it through the radio, but with the voice pvssyr.
Whats the best way to do it? Where have I to put it? Into Sounds? Do all files need the MUS_ prefix then too?

Radio stations are handled by quests, you'd have to go in to the Radio New Vegas quest and add each song individually. You also have to provide a mono ogg version for each track.

Unless your goal is to learn how radio stations work, it would probably be a lot easier to just use a mod like this:
http://www.newvegasnexus.com/downloads/file.php?id=36835
I haven't tried it myself, but it seems to do exactly what you want.