"To speed up the loading time and start the game sooner, audio is downloaded or streamed on-demand during the game. In other words, nothing is downloaded until a Play action starts playing an audio file. Then, if the audio file is in the Music folder it starts streaming from the server; if in the Sounds folder, it starts downloading and will play when finished downloading. This also helps minimise the bandwidth requirement on the server since unused audio is never downloaded. However, it can introduce a delay before audio plays for the first time. The delay on first play is a one-off, because after the first play the sound is already downloaded and can be played immediately if played a second time.
You can also use the Preload action to start downloading an audio file without actually playing it. This can be done on Start of layout to start downloading a few important sound effects so there is no delay when they are played for the first time. However it is entirely optional (all games will work without any preloading at all), and it should not be over-used since preloading too many sound effects on startup can slow down browsers with too much downloading and result in no sound effects playing at all for a while."
Big up for manual.