How to change the default alert sound in GNOME

I found out that what needs to be done for it to change is this:

  1. Navigate to SettingsSoundSound Effects, and select what you want as the new default:

    Sound settings

  2. Close the window.

  3. Restart GDM (will close current session! save your work) with:

    sudo service gdm restart
    

The step I missed was restarting GDM.