I'd love to hear what others do, but here is my horrible method:
* Create a variable: "thrusterstart", set its value to 0.
* While mouse button is down, add 1 to thrusterstart (it will continue adding '1' as long as the mouse is down, but that's ok)
* When thrusterstart == 1, play sound with looping turned on
* When mouse button release, set thrusterstart to 0.
I had to do something similar in a test project. I'd love to know a simpler solution.