1) Make sure your sound is in a format compatible with the game. Ogg is best, but WAV files should also work.
2) Place it in a folder that will be easy to access from within the game. psatkha recommends creating a "Complete" folder in the game directory on his website.
3) I had already completed this step because I did it when exporting the models. It may or may not be necessary. This involves completing steps 3-4 from this guide.
4) Create a sound object, as you did.
5) In the src property, select the path to your sound (in the Complete folder or whatever folder you're using).
6) Click OK.
7) Right-click on this sound object in the advanced editor list and click Export.
As you can see, many of the steps are similar to exporting models into the game (the process is described in the guide above), but it's a little simpler.
I'll be praying for you.