It was a lot of work. I like using as much of my own rips and programming as possible so I ripped the spc sound files from the SNES games. Then I used a tool called SPC2Midi to convert them to midi. The hard part is that program doesn't automatically use the correct instruments, so I had to select from a huge list of instruments until I found ones that were close to the SNES ones. Then I had to loop the midi as best as I possibly code.
The mp3s and adx files for the game were done similarly using the spc files, the big different being not having to select the instruments to convert them. Also, I manually looped the adx files using their time codes and a program that let me exactly line up the soundwaves from one point of the song to another. Every adx I made for my mugen stages had perfect loops.
Btw the only reason I did any of that is because the original version of the game was in winmugen and the co-creator's computer couldn't play mp3s/adx files in winmugen for some reason. So I made midis
Edit: Thought I'd throw this in here cause of the new roster leak for SFV:
Spoiler: spoilers for SFV and Mighty Street Fighter (click to see content)