SMG

The SMG file format is a form of sequenced audio used in Shin Megami Tensei: Nocturne, the Digital Devil Saga duology, and both of the Raidou games. An SMG file can be separated into 3 parts: the sequence itself, a sample bank, and header data which contains information such as the sample rate and sample offsets. Samples are in VAG audio and can be extracted with vgmtrans ad turned into a soundfont, though it's very difficult to get an actual output from this. At the time of writing, modifying these files is very hit or miss, as many of them contain links to other SMGs that, when broken, cause the file to not play at all.

vgmtrans
vgmtrans can open SMG files, extract the sample banks and sequences of each one, and convert them into MIDI sequences and soundfonts respectively. Most of the time, however, you don't get any output when you extract them.

vgmtoolbox
vgmtoolbox can open and extract all the data inside SMG files and convert them into .HD (header data), .BD (sample bank), and .SQ (sequence data) files respectively. It can also convert these files into a .psf2 file which can be played through foobar2000's vgmstream component. .HD files can be opened with 010 Editor and hex edited with the aid of a template made for .HD files.

vag2wav/wav2vag
vag2wav and wav2vag are tools built from the PS2 SDK which are capable of converting .wav files into vag audio files (.BD) and vice versa. However, it only works with one sample, which isn't the most ideal when working with SMG files, as they have several samples inside of them. The .wav files must be mono and exported as 16-bit PCM audio in order for the tool to work, both of which can be done inside Audacity.

BDPack
BDPack is a tool written by TGE which expands on the capabilities of vag2wav by letting you drag/drop multiple samples and convert them into a .BD file. It also gives you a .map file which contains the offsets and sizes of each sample. The offsets are used when editing the .HD file in 010 Editor to get the SMG playing correctly.