File > Import Sound lets you select a sound file and copy its contents into the Springboard story file as a sound clip.
Supported import formats include only Windows WAVE files containing uncompressed PCM data. The next version of Springboard should support compressed formats as well.
You can select the file to import in the usual Windows file-selection dialog. You can press the black triangle button to play the selected sound file.
Imported files are placed under the currently-selected element in the Story Tree.
See also Working with sound.