By the time, I have seen no way you can store in the SJ tones from other machines. It is a pitty, because having it a Sd card reader inside I think it should not be very difficult to get this function.
I have the Pocket Pod, and I can connect it to the SJ with no problem. To do this, and if you want that the tone from your Pod sounds through your SJ as you can listen it directly from the Pod, it is very important that you have the SJ as "clean" as it is possible. So, some guys advise to connect it using the Aux input, not the Guitar one. You can find more information about this matter in other post.
I have read you can download drum tracks like if you would like to download, and store, any other track.
I bought the Spider Jam last week and I am answering you because I had the same questions and I have been reading some posts in forums not because i have so many experience.
Hope that anyone with more knowledge can answer better.
Sorry about reputation, I am writing from my tablet and pressed -1 not wanting to do that, and I don't know how to correct it.