With this a simple trick for Audacity, I finally manage to open those ".SFX" files.

The trick is done with raw data as:

• Encoding: Signed 16 bit PCM
• Byte order: Little-endian
• Channels: 1 Channel (Mono) (or sometimes Stereo)
• Start offset: 32 bytes for *.sfx files, 0 bytes for *.data files
• Amount to import: 100%
• Sample rate: 7600

The audio quality is too low but that's a good start.
There's the "Classic" and "NotElvis" tracks, if you have any good idea to clean the quality, say it in this post.

Have a nice day!
Edoardo Moretti.

*sigh* Seems nobody is interested about Worms 1/DC speechs...

By the way, an another program that helps is OpenMPT

-UPDATE-

Continuing to research for the .SFX files, I decide to do the list of the speechs from Worms 1/DC:

-American
-Beavis & Butthead (?)
-Classic/English (V)
-French (!)
-German
-Norwegian
-NotElvis (V)
-Python
-Angry Scots
-Simpsons (?)
-Soul Man
-Swedish
-Toonz (!)
-Tykes

(?): Don't aks me...Probably those speechs are fanmade or special quests.
(!): There's 2 versions of this speech.
(V): This speech is already available on the TUS files.

Thank you.

Hooray!!! There's the final options with Audacity using Raw Files:

• Encoding: Signed 8 bit PCM
• Byte order: Little-endian
  
• Channels: 1 Channel (Mono) (or sometimes Stereo)
• Start offset: 64 bytes for *.sfx files, 0 bytes for *.data files
• Amount to import: 100%
• Sample rate: 15400

The speechs will be available soon (...and this time for real!)

Noice