Before I start, let me say I'm an elitist jerk who won't respect anybody who doesn't capitalize anything.
Mistercharles started working on a mod guide. You can see what he has
here.
To run a mod, place the folder containing the mod's files inside the Soldat directory's mod folder, C:\Soldat\Mods by default.
The modded files should be in folders similar to that of Soldat's, i.e., sound effects in Sfx, weapon graphics in Weapons-gfx, gun pictures in Interface-gfx\guns, etc, so the folder containing your mod's sound effects would be in, by default, C:\Soldat\Mods\MY MOD!\Sfx.
Soldat has a program to run mods without futzing around with shortcuts, command lines or other programs, the Soldat Mod Starter. Use that to run your mod.
Several other people have tried to make Gears of War mods. You could borrow their "Hammer of Dawn" ideas.