Quick tip: Click "Tutorials" in top bar and search for things your curious about.. there is a ton of material there!
Quick answer, add an audio object to your project (double click on layout and select audio object), import your sound into the game like any other asset (drag-drop, file manage,etc.) and then the audio options will be available in actions.
Ie. Bluecheese on click - play audio bluecheeseclicked
Just make sure to remember events fire 60 times a second, use System [toggle once] in your conditions if the trigger is open ended... as in say press A fires bullet, play bullerfiresound.. you will get 60 plays in a second unless you set the toggle once condition or some other stop action.