You can add custom songs by downloading an osu rythym charts (4 notes) and once you do that you go into the game and click the little plus sign next to the dancer sprite (bottom right). That plus sign is used both for adding custom dancer sprites and adding custom songs/maps. There's an official guide for it on the game page and this is how ya do it.
Instructions:
- Follow the link: https://chimu.moe/en/beatmaps?amount=40&offset=0
- In the search bar, click on the gear
- Select gamemod mania
- In the CS slider select 4 keys
- Download your favorite OSU map
Hopefully this helps!