Right Click the Sprites Folder, make a new folder and call it the name of your zone.
Right click this folder you created and click "create new sprite"
Click load sprite and load your sprite
Right click the objects folder, and create a new folder with the name of your zone
Right click this folder you created and click "create new object"
Change it's parent to "par_solid" (located in Engine-> Parents-> Terrain)
If you want your object to be over Sonic, change its depth to a negative value(Ex: -10), otherwise make it a positive value (Ex:10).
That's all