Basically for Sonos to play Spotify files directly would require a little API to allow your Sonos device to talk to the Spotify service. This would have to be provided by Sonos, or most likely, Spotify. To date, both while both parties have said they are interested in the idea, they have said it is for future possible development.
Having said all this, there is a way of capturing the Spotify stream (not the saved files) and allowing a Sonos device to see them. However, this is rather technical, involves installing the Spotify Windows client on a Linux machine using WINE and using some Linux bash scripts and a couple of utilities. More importantly, it is in no way supported by either Sonos, or more importantly, Spotify and may contravene some of their terms of service (I'm really not sure of the legality of this) and may result in your Spoitfy account being suspended. There are links to this process to be found on the Internet, I have not tried them, but having read the process, it would seem to be perfectly viable. Due to the possible legal issues surrounding this solution I cannot recommend it and because of House Rules, nor can I post the link.
BTW, the files streamed from Spotify are in Ogg Vorbis format - Q5 (160kbps) for free, Q9 (320kbps) for Premium.