I am hardly a grub 2 expert but you need to edit /etc/default/grub and uncomment the line grub_init_tune and modify the tempo, frequency and duration to get the desired beep. Then you must run update-grub as root to incorporate these changes into /boot/grub/grub.cfg. You aren't supposed to edit this file directly. If you try putting a ctrl-g in the title of a menu in /etc/grub.d/10_linux you will get a beep when you press enter on an item but not when you arrow passed it, at least that was the behavior when I tried it 6 months ago. After you run update-grub you can look at /boot/grub/grub.cfg to see what order the menu items will be in. The menu items don't appear to wrap so if you want the last item you could arrow down a bunch of times and press enter. Remember you must run update-grub to incorporate these changes into grub.cfg. Also, info grub for grub docs.
