Once you've imported a sound into the library, you can turn it into a shared library asset, which allows you to use it across multiple SWF files. The benefits of this are twofold: First, because the sound exists in a central location, you only need to download it once, thereby minimizing download time for your movie. Second, whenever you update the sound in the shared library, any movie to which it's linked will reflect the updated sound.
For information about shared libraries, see chapter 9, "Using the Library to Manage Movie Assets."