They do, but they're pretty lame. I finally learned EH's a few months ago after years of playing OFP and have hade heaps of fun lately adding "hit" and "fired" EHs' to all and sundry.
I now have custom sounds, custom blood, custom gun smoke, custom rocket trails etc. Needless to say I can't make a playable mission with all this laggy smoke and custom sound effects clogging up the CPU ! ;D
Rags