If you're talking about setting an individual sound for each app (actually each type of notification for the app), I found this:
Go to settings - notifications - app notifications / or you can slide down to open the notifications slider thing, and there should be notification settings on the bottom left side.
From there, choose the individual app you want to set up the notification sound for (make sure the option on the right is turned on, as you can turn it off for apps you don't want any notifications from). For the individual app that you choose from there, you should see many notification options and it could be a bit different for each app, but basically you need to go all the way into each notification category (if more than one) and you'll see the option sounds that you can use - and also some app have their own settings that could be linked there.
For example, for Outlook mail it would be: from app notifications choose outlook - then notification categories - then mail - make sure "allow notifications" is turned on and choose sound - from the you set the sound you wish.
