SY talked about the soundtracks box in an interview in the Wire (2004?).
On Thurston's atp (2006) Steve told Sonicl and me that they are working on it. The last I heard is when they said they are not sure whether it will be a box or separate cds. Unfortunately I have no other info about any other SYR.
You can post your wish here:
http://www.sonicyouth.com/gossip/showthread.php?t=23968