Just import the sound clip into your project. Go to the "Sounds" tab in the Sprite Pane and press the "Import" button, find your file, and voila!
Similarly, you can also record sounds directly in Scratch. Again, go to the Sounds tab but press the big red circle to record.
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You have to download the project, then find the sound, right-click it, and select "export". Save it somewhere that you can remember it, then import it into your project, using the "sounds" "import" button
EDIT: Beaten by one second >.<
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