The process for this is a lot more strict than ingame music.
Go to:
...and create a subfolder inside it. Name it whatever you want. From there, take a/the track you want to use and convert it into .wav format, and name it "Layer1.wav". You have to use a separate folder for each menu track; additionally you can have up to four layered tracks per menu track folder, named "Layer1.wav" through "Layer4.wav"; only the "first" layer is required for each, and if the other three are present, it'll blend them together as you progress through menus. YOU MUST CAPITALIZE THE "L" IN "LAYER" IN EACH FILENAME ("Layer1.wav", not "layer1.wav"). I mean it, it's picky about it.

Next, go into Config → Audio → Mods and either turn "Custom Menu Music" to "On" (to only play your custom stuff) or "Mix" (to let BNG's stock menu music also play sometimes).