S-pen helper and S-pen toolbox do it without root. Toolbox is paticularly nice. If you'd like, it will display a small window with the apps of your choosing when you remove the pen as well.
First download the S Pen Helper App from the market.
Once downloaded enable S Pen Helper then scroll down and enable detachment sound. ( note do this with the SPen itself)
Select detachment sound.... it will then go to your storage
select the audio file (must be mp3 and cannot be to long of a clip)
Also make sure you turn off detachment sound under S Pen settings or you will get two sounds
I posted the original post for the lightsaber removal and insertion sound way back in November. Instructions for downloading the sounds are included in the post. Search for it in the galaxy note 2 rootsection